It's also great for tempura - google some recipes, plenty out there. The lumpiness is what you do want it for in this case, gives a lovely coating for small pieces of food - seafood, chicken, meat, vegetables. To me it has virtually a neutral taste, and none of that uncooked taste that flour can have.
If you are using it for thickening a sauce, mix it into a slurry with COLD water, not hot (it will go like glue and be useless) making sure you stir it at the last moment before putting it into the liquid you want to thicken as the cornflour settles to the bottom quite quickly, then stir like mad :) once you've put it into the liquid, or you'll end up with a big lump.
I use it all the time in place of flour, or to replace some of the flour in breading foods, gives a lighter result.