Well, you could be taking a call at a co-worker's phone, and need to send the caller to that co-worker's mailbox.
You want to run through a couple of hoops? While you're talking to the caller, put the phone in DND. Then transfer them to Voice Mail, like they were calling in to check messages. Don't hang up yet, when you get the prompt to enter your extension and # sign, dial *8 and the extension number, THEN hang up. Wait a couple of moments, and then take the phone out of DND.