that's called »optical sizes« or »grades«. A typeface designer may choose to draw several versions of a typeface, each optimized for printing at a certain size. For example, a grade optimized for printing at footnote size (say, 8pt) will usually have sturdier hairlines, less stroke contrast, maybe a bit looser spacing, maybe a decreased ascender-to-xheight ratio, probably less overall detail -- whereas a grade optimized for display use (say, size 24pt) will be more playful, have more contrast between vertical and horizontal strokes etc. The differences become most obvious when the different grades are scaled to the same absolute size.
Nowadays, many fonts come in a ›Text‹ and a ›Display‹ version. Some have an additional ›Footnote‹ grade (or ›Caption‹, or ›Micro‹; there's no naming standards). But more than three grades are pretty rare. Donald Knuth drew eight of them for Computer Modern Roman Regular, five for CM Sans, four for CM Typewriter, only one for CMR Smallcaps etc. [although, see below, this wasn't adopted in the Unicode version].
In the days of letterpress printing, this practice was the norm rather than the exception. As (before the late 19th century) every fount had to be cut from scratch for a certain size anyway, a punchcutter would cut their 8pt punches not only smaller than their 24pt ones, but include other differences likes the ones above as well.
The overall aims of all this are (among others) to (1) improve readability at small sizes, (2) to prevent thin strokes from disappearing (or even parts of the metal punch breaking off) at small sizes, to (3) add variation, embellishments, detail etc. at large sizes (note, e.g. the loops in FF Clifford's italic Q or w), (4) to create a more uniform ›color‹ among the different sizes, as using the regular text grade in footnotes yields a color too light, and, for display, too dark.
Unless you are using Computer Modern Roman, TeX will only choose different fonts for different sizes if (1) you tell it to, and (2) you actually have a font that comes in different grades.
It's also possible to specify completely different fonts for the different sizes. I often use Playfair Display as a companion for Miller Text (as a cheapskate replacement for Miller Display). Using Xe/LuaTeX, fontspec's optical size feature can be used to that end:
\documentclass[12pt,DIV=7]{scrartcl}
\usepackage{fontspec,blindtext}
\setmainfont%
[SizeFeatures={%
{Size=-14,Font={Miller Text}},%
{Size=14-,Font={Playfair Display}}}]{Miller Text}
\begin{document}
{\Large Lorem Ipsum \&c.}\par
\blindtext
\end{document}
PS: that said, the Unicode version of Computer Modern does not seem to come in different grades, as does traditional Latin Modern Roman. The reason the file list you posted is that long is simply that a lot of quite different fonts are part of the CM Unicode project. Knuth's sans, typewriter, typewriter proportional, upright (!) italic, etc., they're all in there.
*.otffiles gives each font variant (e.g. bold, italic, slanted,...) rather than each size. The sizing information is stored within each.otffile. – John Wickerson Jun 3 '13 at 11:02.otffile is not going to contain the glyphs for different sizes. There is noa.8pt,a.12pt,a.24ptetc (I don't think anybody has ever done that in an OpenType font). What would be interesting to know is if the people who derived the CM Unicode fonts from their predecessors really converted all the optical sizes. My impression is that they didn't -- or there would be eight versions of the filecmunrm.otf. – Nils L Jun 3 '13 at 11:32