From the Java documentation found here, "it allows the programmer to avoid having cleanup code accidentally bypassed by a return, continue, or break. Putting cleanup code in a finally block is always a good practice, even when no exceptions are anticipated."

If you're not convinced after reading that, testing it yourself is incredibly simple. Write a basic program whose main method returns, then prints something to the console in a finally block. If anything gets printed, you'll know the block was executed.