I think we can safely call off the attack dogs on this one. At least five people have already said that they think lights on your POV are silly. And it's been said in 30 other threads in the few months I've been here, so... Deceased equine. Severely pummeled.
As for the "why", I can only give an answer as relates to New Jersey. Technically, the lights are because when volunteer agencies are toned out, some squads and all fire departments go to the squad or a meeting place, pick up an ambulance or fire engine, then go to the call. So, the lights (in NJ they're blue) are to make it somewhat quicker to get to the station to get to the call. They are not really (at least not around here) for responding to calls in your POV. They're also not strictly emergency lights, although vehicles (under recent changes to state law here) are supposed to yield the right of way to you.
A secondary purpose is if you happen to be at a call in your POV, it makes your car more visible at the side of the road or whatever. Personally, I think that responding to calls in your POV is a terrible idea, and I've never done it (and I'm not quite finished with EMT school anyway, though I am a FR). However, I have seen once or twice that the tones dropped while someone was literally driving past the address in their POV, and in that case, it might make sense to stop.
When on duty, my squad stays at the building now, so I don't have a blue light in my car. Would I consider getting one? Maybe, but we don't get enough "all calls" (calls for any available members because the duty crews are both already out) to justify it, and I live a solid 10 minutes from the squad building. But basically, in long-winded answer to your question, they're for responding to the station to get a crew on the ambulance to answer an emergency call.