Scripts can be used for a multitude of things including automating redundant tasks and even adding new features to Vegas. There are many free scripts available and also a few commercial scripts. For an example of scripts, there are many listed on my website including Excalibur. There are also many on the VASST website which also includes both free and commercial scripts.
You can use scripting to streamline repetitive tasks, integrate with external applications, and implement customized features.
If you don't have programing experience then it might be hard to imagine what types of "tasks" a script can do or have the ability to find out what Vegas scripting is capable of doing. I just used a combination of scripts to output all events on the timeline as seperate .avi files using their original file names. I could have done this one event at a time myself (very time consuming) .. but the script "automates" the task and does it very quickly. Sooooooo .. a script is a set of instructions to Vegas that execute rapidly to produce a result. This is just one example.
Scripts can increase your productivity by automating repetitive tasks although as Jetdv points out, they can add whole new features to Vegas. If you have ever used macros in Word or Excel, think "Macros on Steroids".
There is a tutorial Using Scripts in Sony Vegas Software on the VASST web site that will give you a good idea about what scripts are and how you can use them in your work flow.
At the top is a line that will say import SonicFoundry.Vegas or import Sony.Vegas. Make sure you're using the right one. Vegas 4 used "SonicFoundry" while Vegas 5 and newer uses "Sony".