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 Projection Parameters.
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. A self-illuminating material can help as well.
See also