One place where preprocessors shine is where the language itself has changed in an incompatible way, where "language" can be interpreted broadly including calls to external libraries. For example some function you need to call added an extra parameter:

  #if LIB_VERSION_GE_3
    lib_f (1, NULL);
  #else
    lib_f (1);
  #endif

It can be difficult to do this with other mechanisms where the compiler is actually compiling and therefore type checking both branches.

OCaml is a pretty rich language with many features, but we fall back on preprocessors like cppo (or even cpp) to deal with these kinds of cases.