On Windows Server 2003, this is the default logging directory for the Hypertext Transfer Protocol (HTTP) APIs, better known by the kernel level http.sys driver. Chances are, you don't know that this directory exists, and what is logged there (except that when you are looking right now, you will be surprised how big that directory is!).
When you are using IIS 6.0, all requests are first received by http.sys, and then passed on to IIS - previously, IIS itself was listening for requests. Http.sys is passing on the requests intelligently, which means that certain requests never even reach IIS. For example, invalid URLs are caught:
2006-02-23 19:05:00 220.127.116.11 1422 18.104.22.168 80 HTTP/1.1 GET /serv<script%20language= 400 - URL -
Most oftentimes it is simple connection timeouts, but to get the most out of the (huge) log files, you should be using LogParser anyways.
The reason why I started this blog entry is actually this: if you don't like the HTTPERR log files on your system disk, you can relocate them. The procedure is detailed in the article Error logging in HTTP API, which also dives into the format of the log file, and which kinds of errors are actually logged there.