I think there's a limit to the number of times one can ply yarn together theoretically, but basically spinning works by twisting fiber together to make it stronger and hold together more instead of just being all wispy. When you "ply" yarn, you take two of those strands you just made - or more - and twist them together in the opposite direction to make them even stronger. There are schmancy ways to do it to make it look fancy and pretty, but basically every time you add more twist (by spinning the spindle), you make the yarn stronger.

If you do it a lot of times with steel, you have suspension bridges. *g*