For triathlon, it is often recommended to do a Brick workout. Bike, Run, Ick.
That is run right after finishing a distance bike ride.
What benefit does this provide?
To build on Mike's answer, this triathlon workout article gives this as the reason for doing brick workouts to train for triathlons (key points highlighted):
According to this training article, bricks are commonly bike/run combos, but there there are also training scenarios for swim/bike combos.
The performance benefit of brick workouts is widely debated. One thing that is much less argued is the importance of doing some brick workouts prior to your first race(s) to get used to running off the bike. It can be quite disorienting the first couple of times. You can help this phenomenon by synchronizing your bike and run cadences as much as possible. Riding at 90rpm, then jumping off the bike and trying to run at 60 (or vice-versa), your legs will feel lost for 5-15 minutes. But riding at 90 and taking off running at 90 can smooth things out.