The double harmonic minor is used in structuring chords in a minor key. The Hungarian minor is the harmonic minor just with a raised 4th. This tone functions as a leading tone to melodies built on the 5th of a scale. So if you had a song in A minor, and you revolved your melody around the 5th (E); the #4 (D#) would function as a normal leading tone to E. Hopefully that makes sense, but that's the standard function of that scale.
Ex.


A minor (A hungarian minor)
| Amin | E7
e:----|------------------|---
b:----|------------------|---
g:--8-|-9-8-9-8-9--------|---
d:----|-----------7-10-9-|-6-
a:----|------------------|---
e:----|------------------|---