"If Christ died for all of our sins," asks the Evangelical, "why then do we need Purgatory? Isn't this notion of double expiation redundant?"
From the Catholic point of view, sin has eternal and temporal effects corresponding to eternal and temporal punishment.
Eternal punishment and temporal punishment are both expiated by the cross of Jesus Christ. The former regards ones final destination, the latter regards how we are transformed into the image of Christ.
Although it's not entirely correct, I find that Protestants find it helpful if I compare eternal punishment as regarding justification (are you saved or not), and temporal punishment as regarding sanctification (the process of mortifying sin and our attachment to it).
If one has faith, hope, and charity (i.e. is in a state of grace) at the moment of death he is saved from hell, which is the state eternal punishment. However, our attachment to lesser sins falls under the paternal judgment of God who requires us to be holy as he is holy. Thus, we must undergo chastisement worthy of our status as sons of the Father (either in this world or the next) so that we are like Him and can therefore see Him. Romans 8:28 says that we have been predestined to be conformed to the image of Christ. This conformity must be actual and not merely imputed. This paternal discipline relates to temporal punishment. If we living a penitent life on earth and perform acts of love, then we need less purgation. If we trust Christ but conform our lives to a lesser extent to His cross, then we need more discipline in the world to come.
Our God is a consuming fire...