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heh, didn't know I had one... but I do. It'll be to place multiple separate files in instead of managing a single /etc/sudoers file, making it easier to manage. All sorts of things do this to simplfy config file management, cron, apache, all sorts.
sudo will read each file in /etc/sudoers.d, skipping file names that end in ~ or contain a . character to avoid causing problems with package manager or editor temporary/backup files. Files are parsed in sorted lexical order. That is, /etc/sudoers.d/01_first will be parsed before /etc/sudoers.d/10_second. Be aware that because the sorting is lexical, not numeric, /etc/sudoers.d/1_whoops would be loaded after /etc/sudoers.d/10_second. Using a consistent number of leading zeroes in the file names can be used to avoid such problems.
So acid_kewpie was right, it's basically a place to add sudoers information without modifying the main /etc/sudoers file, similar to the apache conf.d directory.