Why use finally

I never properly understood the use of the finally statement. Can anyone tell me what the difference is between:

try {
    a;
    block;
    off;
    statements;
} catch (Exception e) {
    handle;
    exception;
    e;
} finally {
    do;
    some;
    cleanup;
}

on the one hand and:

try {
    a;
    block;
    off;
    statements;
} catch (Exception e) {
    handle;
    exception;
    e;
}
do;
some;
cleanup;

On the other