Architecture :: Factory Patterns Implemented In .Net Framework?

I am having troubles understanding the purposes of using Factory pattern, I understand Factory pattern uses Factory class that has methods to return concrete objects. But why don't I simply use new opertor to create concrete objects? Some articles suggest Factory methods could return objects of different concreate classes, I can do the same thing by using switch statement.

Also are there classes in .Net framework already implementing Factory pattern? I think that will give me a better ideas why it is useful.