Pretty much what everyone else has said. It keeps your tape dryer a bit longer, it can help with snow build-up, and it might give a little more "stick" to the blade. I run with a couple different types. I use the Gulf Wax CGNY87 was talking about for the bottom of the blade. It's more like a candle wax, a bit harder than the other waxes I use. It gets a good seal on the pores of the tape and helps with water and snow. For the shooting area of the blade I alternate between Mr. Zog's Sex Wax and Mojo Wax. Both are softer waxes that you can sort of mush around with just the heat from your hands. They're quite a bit more tacky that the Gulf Wax, so you get some stickiness to the blade.
Wax isn't going to make you a superstar, but it just might save you some time with re-tapes.