Mostly they're just a fashion accessory, but they can have some uses.
Divers can use them to track how much air they've got left. You set the bezel at the minute hand, and as the minute hand ticks away, you'll see how much time you've got left (you may have 30mins of oxygen with you, for example).
Note that they're unidirectional (only turn one way), so that if a diver hits the watch accidentally on a rock or something and it turns the bezel, it'll err on the side of caution. It'll show less time available, not more -- so they don't die down there thinking they've got plenty of oxygen left.