If any files begin with '-', the second version will just expand to '-filename' which rm will try to process as an option (possibly failing or creating undesired results). Using

  ./*

expands to

  ./-filename

which won't be picked up by option processing. Note: You can also do

  rm -rf -- *

to prevent option processing after the '--'.

edit: added a bunch of breaks to prevent the * from being converted to italics.