JSON doesn't require you to do that, it allows you to do that. It also allows you to use "\u0061" for "A", but it's not required. Allowing \/ helps when embedding JSON in a <script> tag, which doesn't allow </ inside strings, like Seb points out.
Some of Microsoft's ASP.NET Ajax/JSON API's use this loophole to add extra information, e.g., a datetime will be sent as "\/Date(milliseconds)\/". (Yuck)