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For example, some people might say "I saw this man just now..." instead of "I saw a man just now...".

Nerd
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'A' (or 'an') is the indefinite article. It is used to indicate that the thing being named isn't really unique; it could be any one of that thing. E.g. if I eat a cookie, it could be any cookie.

'The' is the definite article, and it implies that something has already been introduced or is already familiar.

'This' and 'that' are pronouns. The former implies something that is nearby or present, whereas the latter could be something someone else has mentioned. Note the difference between "I told you this" and "I told you that"; "look at this"/"look at that"; "what is this"/"what is that".

Using 'this' in speech can be common because it falls somewhere between the definite and indefinite article - it isn't just any man, but it isn't quite a specific man - it's more like a man that is present in the conversation. E.g. "this [man] is Gerald. Gerald, meet Bob; Bob, Gerald."

Saying 'this man' is something of an idiom in that it doesn't really make sense if the man isn't present, just like 'that' doesn't make sense if he hasn't already been introduced in the conversation, but because we get the same sort of meaning as an article, it can take hold in speech and become a fixed habit. Note that some languages (Latin, Russian) get by without any articles, so we can certainly get through a sentence without them. It doesn't really obscure the meaning of a sentence, but I certainly wouldn't use it in an essay.