$_REQUEST just meshes them all together, leaving a name clash problem. I did some tests on name clashes. In the event of a name clash, it will respond in this order (if above exists, it overrides below)
Cookies
POST
GET

Therefore if you mean to get $_POST["user"] but $_COOKIE["user"] exists, you will have a mismatch. That could be an error, but if exploited right, a security risk. Don't use $_REQUEST

Now to answer your question: What is its purpose. I guess it could have uses if you dont know where the variable will exist, but I dont see it as worth the possible security risk. Like the goto line in BASIC languages, it has some specific uses but its bad outweighs the good. Not a great comparison because GOTO is pure, sadistic evil, but its the best I could think of off the top of my head.

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