That's a broad topic and motivations are varied. However, I suggest you begin with some auditing tutorials so you can be familiar with capabilities.

That said, it helps you with some things that other features of SQL aren't as good at like auditing logon/logoff, schema changes, server-level changes, selects, etc. There are some other features that do those things, but querying the data back out can be laborious sometimes. This gives you a nice way to keep it all under one roof. As well, it's harder for even admins to circumvent the system as you would be able to see when auditing was turned off and back on and by whom. So it would be hard for an admin to explain why he just went in and turned it off for 2mins and then back on again, but suddenly this one server setting has changed and not recorded by auditing.

That sort of thing. But really, go look at some tutorials and you'll get the idea.