A stop limit order is a limit order that is triggered when a price falls or rises below a certain point.
The advantage of a stop limit order is the extra control. It may, for example, be desirable to stop a loss (on a long position) given a significant fall, while preventing a sale at a very low price.
A very low price may mean that most of the value as been lost already (so it is too late for the stop loss to be useful) or that the situation has changed so much it needs manual review rather than an automated stop loss.
Stop limit buy orders need to be used with more caution when covering short positions, as there is no limit to the potential loss. Nonetheless, many investors may want manual review under extreme conditions. In addition, positions that consist of more than a simple short position (e.g. a short sale plus a call option) may well be covered by a stop limit buy.