1) They can often be used to identify you, especially when combined with other HTTP headers or information scraped from the client via JS[0].
2) They are abused by web developers who wish to lock out web browsers that they do not support. This is generally considered to be against the spirit of the web, though is sometimes useful for optimising page load times (for example, not sending IE conditional comments to all browsers).
Thanks. I didn't realize that the combination of headers could produce such a specific target. Apparently my browser fingerprint appears to be unique among the 2,474,746 tested so far.