Think of a Pinned App as a manifestation of the “Be ‘On the Go’ Capable” Metro Principle. By pinning a specific single unit (location, person, book, etc) to the Start screen, the user has less typing, less navigation and any other type of data entry to make it to their favorite or valuable object...
When developing the app, this “slicing” needs to be taken into consideration.
The page that loads from a Secondary Tile must be self-sufficient. It can’t depend on data being loaded from the home page or some other page. --Adam Kinney
Kinney gives some great advice in that piece for the design stages of apps that take advantage of this awesome new feature in Mango. Check out the Tiles Overview on MSDN for more technical info.