In general, these are the reasons to use light objects:
To improve the illumination of a scene.
The default illumination in viewports might not be bright enough, or it might not illuminate all faces of a complicated object.
To enhance a scene's realism through realistic lighting effects.
Guidelines for Lighting has suggestions about making lighting appear realistic.
To enhance a scene's realism by having lights cast shadows.
All kinds of lights can cast shadows. Also, you can selectively control whether an object casts or receives shadows. See Shadow Parameters.
To cast projections in a scene.
All kinds of lights can project still or animated maps. See the Projector Map group in the Advanced Effects rollout.
To help model a source of illumination in the scene, such as a flashlight.
Light objects don't render, so to model a source of illumination, you also need to create geometry that corresponds to the light source. Use a self-illuminating material to make the geometry appear as if it's emitting light.
To create lighting scenes using manufacturers' IES, CIBSE, or LTLI files.
You can visualize commercially available lighting in your model by creating photometric lights based on manufacturer's photometric data files. By experimenting with different fixtures, and varying the light intensity and color temperature, you can design a lighting system that produces the results you want. See Photometric Lights: Web Distribution.