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):
So why should you do brick workouts? I bet you have an idea, but just in case you don’t I will answer it anyway. Brick workouts are used to simulate race conditions because if you aren’t training like you race then you will more than likely fail (unless your goal is simply to finish, and that’s okay too). Simply put, if you want to optimize your triathlon performance, then you will need to implement brick workouts as part of your triathlon prep.
Another benefit to brick workouts is that you learn how to mentally overcome the pain of moving on to the next event. Sure, with enough training you will learn how to run with jelly legs going from the bike to the run, but mentally you need to be ready for the pain. If you know what to expect during each transition, then you will know how fast and how far to push yourself during each event. Pacing is incredibly important during a triathlon, and brick workouts help you best identify how to handle each event.
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.