Lightroom unfortunately does not support softproofing and it would be very useful for certain applications such as seeing how your image will turn out in print. Softproofing works for that case because a printer's gamut is usually much smaller than the monitor profile (usually close to sRGB) in places. In others, it is wider and there soft proofing is not very useful. Here for example is the sRGB gamut of a typical monitor (wireframe) compared to the gamut of typical US offset print (SWOP):
You can see that there is a large amount of color missing in the blue, green and red parts of the spectrum as you would expect because CMYK is a subtractive color model instead of additive such as RGB. On the other hand, the SWOP spectrum has much more definition in cyans and yellows. This is the origin of the widespread use of adobeRGB as a working space for offset as it will encompass most of the cyan lobe. If you softproof an image in photoshop for the CMYK process, you'll see many of the colors shift tremendously and you can correct for this.
On the web, I see many calls for softproofing in Lightroom so that you can predict how an image will look on the web. These calls are misguided however, and arise from these people having badly calibrated monitors and looking at the images in non-color managed apps such as Internet Explorer, or Firefox before 3.0 beta. In reality, soft proofing apps for sRGB is useless, since if you do it right, you will NOT see a difference at all. This owes to the fact that most monitors are approximately sRGB in gamut. Here for example is the gamut of a typical Apple LCD display compared with sRGB(wireframe):
You see that the display's gamut is smaller than sRGB everywhere. Almost every LCD screen (except the new wide gamut LCDs that very few people have - they are not cheap) is like this. Don't believe me? Here is an image with lots of colors outside the sRGB gamut softproofed for sRGB on my MacBook Pro:
Now look at the same non-softproofed:
Exactly the same indeed! Another reason that I think people get this wrong is that they do not set up the softproofing correctly. This is how you have to set it up for correct results:
You should NOT check the preserve RGB numbers button as you will not see the result of conversion to sRGB, but of when you would simply assume the image was in sRGB instead of the source profile (prophotoRGB in this case). My guess is that lots of people do this erroneously and think that their image changes a lot when going to sRGB. Concerning Lightroom, this means that if your image looks good on screen in Lightroom, it WILL look good when exported to sRGB. Of course, you cannot do much about your audience not calibrating their screen and not using color managed browsers, but using sRGB gives you the largest probability the colors will be correct.
P.S. Note that I used the color LCD profile supplied by Apple for the comparison above. If you hardware calibrate a Mac Book Pro display (even the LED ones) you'll see that the actual gamut is even smaller, making it even more impossible that you could see the effect of sRGB soft proofing on such a machine. ONLY when your display's gamut is larger than sRGB will you be able to see the effect of soft-proofing for sRGB.