Here are two applications of "nice sets" (measurable, Borel, or $F_{\sigma}$) such that both the set and its complement have a positive measure intersection with every interval.
[1] What follows is taken from my answer at Is every Lebesgue measurable function on $\mathbb{R}$ the pointwise limit of continuous functions?
There exist measurable functions $f:{\mathbb R} \rightarrow {\mathbb R}$ that are not almost everywhere equal to any Baire $1$ function $g:{\mathbb R} \rightarrow {\mathbb R}.$ [Consider the characteristic function of a set such that both the set and its complement has a positive measure intersection with every interval. Oxtoby's book Measure and Category, 2nd edition, p. 37 gives a very nice construction of such a set that also happens to be $F_{\sigma}.$ Rudin gives the same construction in Well-distributed measurable sets, American Mathematical Monthly 90 (1983), 41-42.]
[2] Section I.1.b (pp. 11-13) of Bruckner's paper (see below) gives a brief discussion of nowhere monotone differentiable functions and outlines a proof of the existence of a nowhere monotone function with a bounded derivative through the use of a homeomorphic change of scale applied to the nowhere monotone absolutely continuous function $f-g,$ where $f$ and $g$ are the indefinite integrals of the characteristic functions of a set $E$ and its complement, and where $E$ has the property that both $E$ and its complement intersect every subinterval of $[0,1]$ in a set of positive measure. Exercise 18.31 (p. 296) in Hewitt/Stromberg's 1965 text and Problem 4.29(f) (p. 158) of Benedetto's 1976 text ask the reader to prove that $f-g$ formed in this way is nowhere monotone and absolutely continuous.
Andrew M. Bruckner, Current trends in differentiation theory, Real Analysis Exchange 5 (1979-80), 9-60.
John J. Benedetto, Real Variable and Integration, Mathematische Leitfaden. Stuttgart: B. G. Teubne, 1976, 278 pages.
Edwin Hewitt and Karl Robert Stromberg, Real and Abstract Analysis, Graduate Texts in Mathematics #25, Springer-Verlag, 1965/1975, x + 476 pages.
(ADDED THE NEXT DAY) I looked through some of my stuff at home early this morning and found the following additional references (full bibliographic information is further below). In a rough sort of way, it seems to me that each of the additional applications below still roughly belongs to one of the two applications I've already given.
additions to [1]
Foran's book, Section 6.1, pp. 261-262.
Hahn/Rosenthal's book, the remarks just before Article 11.3.22 on p. 147.
Stromberg's book, Exercise 13(c) on p. 309.
additions to [2]
Coffman's abstract.
Wise/Hall's book, Example 2.26 on p. 63.
[3] Goffman's paper (just below the middle of p. 544) uses such sets to show that a certain type of generalized Riemann integral (based on the upper and lower Burkill integral formulations when sets are neglected from a $\sigma$-ideal that contains at least one set of positive outer Lebesgue measure) can fail to be integrable in this sense but still be integrable in the Lebesgue sense.
[4] Settari gives the following example (see MR 36 #5892). Let $(X,\tau)$ be a metrizable topological space and let $D(X)$ be the collection of all metrics on $X$ that generate the topology $\tau.$ Then $D(X)$ can be partially ordered by defining $d_{1} \leq d_{2}$ if and only if there exists $\alpha > 0$ such that $d_{1} \; \leq \; \alpha \cdot d_{2}$ on $X \times X.$ Settari shows that there exist $d_1, \; d_2 \in D\left([0,1]\right)$ such that $d_1$ and $d_2$ have no common lower bound (i.e. there does not exist $d_3 \in D\left [0,1] \right)$ such that $d_{3} \leq d_{1}$ and $d_{3} \leq d_{2}$). This is accomplished by using two sets of the type under consideration whose union is $[0,1].$
[5] Such sets are constructed in ${\mathbb R}^n$ in Gardiner/Pau (Lemma 3 on p. 1130) for use in the proof of their Corollary 4.
Additional References
Charles Vernon Coffman, The existence of absolutely continuous nowhere monotone functions (conference abstract), American Mathematical Monthly 72 #8 (October 1965), p. 941 (abstract #5).
Stephen J. Gardiner and Jordi Pau, Approximation on the boundary and sets of determination for harmonic functions, Illinois Journal of Mathematics 47 (2003), 1115-1136.
Casper Goffman, A generalization of the Riemann integral, Proceedings of the American Mathematical Society 3 (1952), 543-547.
James Foran, Fundamentals of Real Analysis, Monographs and Textbooks in Pure and Applied Mathematics #144, Marcel Dekker, 1991, xii + 473 pages.
Hans Hahn and Arthur Rosenthal, Set Functions, The University of New Mexico Press, 1948, ix + 324 pages.
A. Settari, Directedness of the set of quasimetrics [Slovak], Acta Facultatis Rerum Naturalium Universitatis Comenianae, Mathematica 15 (1967), 53-60.
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Karl R. Stromberg, Introduction to Classical Real Analysis, Wadsworth International, 1981, ix + 575 pages.
Gary L. Wise and Eric B. Hall, Counterexamples in Probability and Real Analysis, Oxford University Press, 1993, xii + 211 pages.