These are used to track the sender of the email and its route from the sender to the receiver, including its route through the internet etc.
It is useful for a number of reasons:
1) Checking out delays during email transmission
2) Tracking down the original sender, for example if it had a virus attached. (tip: If the address in the From header doesn't match an X-From header, trust X-From rather than From as this can be easily spoofed, but a number of email clients put this in as well).
3) It can be useful for tracking where spam was sent from, and informing server admins about any open relays they may have and be unaware of.
You do need a little understanding of TCP/IP and DNS in order to work out what is going on there, but it isn't difficult at all once you know the basics.
John