Consider running a very small DC motor using a PWM frequency of 1Hz. You won't be able to speed control it very well at all because it's just going to sit there twitching. A small motor can easily spin up and down again in 1 second.
This is a because of it's low rotational inertia - your 1Hz PWM is no better than simply pressing and releasing a button with your finger.
Consider the same system using 1000Hz instead. You can fit many PWM pulses into the time it takes for the motor to spin up or down. At this point, the motor effectively becomes a low pass filter and finds equilibrium spinning at a rate that is proportional to (PWM ratio) * (supply voltage).
For motors in particular, it is a good idea to pick a frequency that allows smooth speed control, but not so high that the windings in the motor will begin to act against you and you lose efficiency to back EMF and inductive effects.
That's a general answer pertinent to motors (as you mentioned using them). Other applications (resistive or capacitive loads) will have different reasons for choosing sensible frequencies.