In my lab, and in many condensed matter physics labs around the world, we use liquid helium to run many of our experiments. At low temperatures, many complicating effects in condensed matter systems are "frozen out", and it becomes easier to understand the effects that remain. Often we are interested in the ground state of some system and want to reduce thermal excitations. Quantum effects are usually more apparent at low temperatures because the inelastic processes that lead to decoherence are suppressed as T approaches zero. For example, the quantum coherence length (the distance scale over which the phase of an electron's wavefunction is well defined before it gets messed up due to inelastic effects of the environment) of an electron in a metal like silver at room temperature is on the order of 1 nm, while that length can be thousands of times longer at 4.2 K, the boiling point of liquid helium at atmospheric pressure. Those kinds of temperatures are also necessary for running good superconducting magnet systems.
The downside of liquid helium is that it's damned expensive, and getting more so by the minute. Running at full capacity I could blow through several thousand liters in a year, and at several dollars a liter minimum plus overhead, that's real money. As a bonus, lately our supplier of helium has become incredibly unreliable, missing orders and generally flaking out, while simultaneously raising prices because of actual production shortages. I just had to read the sales guy the riot act, and if service doesn't improve darn fast, we'll take our business elsewhere, as will the other users on campus. (Helium comes from the radioactive decay of uranium and other alpha emitters deep in the earth, and comes out of natural gas wells.) The long-term solutions are (a) set up as many cryogen-free systems as possible, and (b) get a helium liquifier to recycle the helium that we do use. Unfortunately, (a) requires an upfront cost comparable to about 8 years of a system's helium consumption per system, and (b) also necessitates big capital expenses as well as an ongoing maintenance issue. Of course none of these kinds of costs are the sort of thing that it's easy to convince a funding agency to support. Too boring and pedestrian.
Fortunately, when you work at really nanometer scales, interesting physics often happens at higher temperatures. I've been lucky that two major things going on in my lab right now don't require helium at all. Still, it's bad enough worrying about paying students without the added fun of helium concerns.
UPDATE: See here.