HTML Purified replaces the default WordPress comments filters with HTML Purifier, a super HTML filtering library.
Why would you want to do this? There is nothing fundamentally wrong with the way WordPress filters comments, and in fact there has been no security alert related to this. However, this doesn't detract from the desire to make things better, and the fact that HTML Purifier is much more thorough and exhaustive.
An additional feature of HTML Purifier is that is will produce valid well-formed XHTML code, something which WordPress does not do.