It keeps the fetid warm air inside the car if that's what you want. It also keeps the air conditioned air inside so that you can cool it quicker. In most cars with the A/C on it boosts the output of the fan but not always when you have it on the windscreen.
Theoretically it could keep out stinks.
Faster heating (or cooling, if you have AC) of the cabin. The disadvantage on cold days is that humidity builds up (occupants generating water vapour), so your windows mist up more.
Air recirculation. It takes cabin air and pushes it through the heater, rather than taking fresh external air.