The backslash escapes the following character. If you do it at the end of a line, it tells the interface that things will continue on the next line. In the case of either a script or an interactive shell, you can do that to make what you are doing more readable.
So specifically with "cd" you are giving it "cd" and then telling it to hang on and wait for whatever you are going to type on the next line.
Edit: Here's an example firing up "qemu" over several lines:
Code:
qemu-system-x86_64 -boot c -redir tcp:2227::22 -redir tcp:4777::80 \
-netdev user,id=network0 -device e1000,netdev=network0 -m 1024m \
-enable-kvm -cdrom ~/Torrents/CentOS-7-x86_64-DVD-1511/CentOS-7-x86_64-DVD-1511.iso \
~/tmp/centos-7-desk.img