Escorts are basically glass cannons. In squadrons (which they have to be deployed in, if memory serves), combining their firepower/lance strength, Escorts can do a lot of damage for very little points, or "punch above their weight" as it were. And if you've got really good maneuvering skills, you can take advantage of their increased speed and maneuverability to minimize their low hits, constantly frustrating your enemies by putting your escorts in places where the enemy can't shoot back. I've heard (never seen it myself) of some players running nothing but escorts in their fleets and doing very well, even in traditionally "brawly" fleet lists like Imperium and Chaos. And of course, Eldar are built around their escorts. For most people, though, Escorts are a good way to help protect larger and less maneuverable Battleships from flanking attacks, minimizing the chances of most your fleet's points being neutralized by one or two good crits.
But, they don't fit everybody's playstyle. Don't feel you HAVE to include them if you just don't grok them, spend the points on something you know how to use effectively. On the other hand, never hurts to try out a new thing. You might find a slot for Escorts in your fleet, you might find you're very good with them and run one of the mostly- or all-Escort "wolf pack" fleets, you may find you can't stand them and never use them again, but you'll have a better insight into their practical strengths and weaknesses should you ever come up against them.
