"Come with" is a relatively new turn of phrase popularized by shows like Buffy the Vampire Slayer. It is used when asking a friend if they wish to accompany you on some errand, or, in Buffy's case, a death-defying act of heroism.
The phrase has successfully made the transition from the small screen to real life and annoys grammar Nazis the world over in ending a sentence with a preposition.
Usage: "Hey, we're going to the mall. Want to come with?"