Musically, they make you aware of the notes that are most likely to be used in a song. For example, if a song is in the key of G major then most (if not all) of the notes used in that song will be notes from the G major scale. They also let you know which chords are most likely to be used in the song as the chords will also be made from notes of the G major scale. Knowing that, lets you 'guess' the chords of lots of songs with a high degree of accuracy.
Technically, they can provide good practice models for training your fingers to move with speed and precision in ways that are constantly encountered in real music.
Then there's the great 'scales in improvising' debate but I'm keeping well out of that one
