While the world of RPGs thrives on many polyhedral dice types, the six-sided dice remain the core dice for many roleplaying and war games. Since dice manufacturers started specializing in gaming dice, they started making 12 d6 sets to give gamers the option to buy the larger quantities of six-sided dice needed for these games. The 12d6 sets use full 16mm dice, the standard dice size of most gaming dice.
It's worth noting that it's traditional for 12d6 sice sets to use pips for numbering, rather than actual roman numerals. The pips on these dice are the dots that you'll commonly see on dice in Monopoly and other mass market board games. 12 d6 dice sets are different from the 36d6 sets in that the 36d6 use smaller 12mm dice.
12d6 dice sets are commonly used in games like Shadowrun and Champions, as well as many other RPGs. In games that use large numbers of d6 dice, it's often possible for well-optimized characters to make use of more than a dozen dice in a single roll. The traditional gamer solution is, of course, more than just one 12d6 set! Two is as many as you'll need for most situations in most games (though for Champions you may want even more). But if you don't want to buy more than one dice cube, you can always just reroll a few dice until you reach the numbers you need, or borrow some from your neighbor (in this case your neighbor is the person sitting next to you at the gaming table: the guy next store is probably going to be confused if you ring the bell asking for a half cup of d6).