Test records can be a very valuable tool, for a variety of situations. Just one would be finding out the resonant frequency of your cart/arm combination, which can tell you whether you've got a good match or not.
It depends, but they can often help in setting up the turntable effectively, by making sure that tracking and anti-skating are working as well as possible.
The Shure test records, particularly the later ones (Era IV or V, for the Shurre V15 Type IV or V), are good value in setting up correctly for best cartridge tracking. The Hi-fi News and Record Review test record, available new, is also good, and has similar tests, although the resonance test frequencies are very slightly inaccurate. There’s a review of the latest one here http://www.vinylengine.com/hfn-002-test-lp.shtml .
I use the CBS Laboratories test records, the STR 100 is valuable. I also use the NAB Test Record also. For most users, the Shure test LP discs are very good choices and the Hi Fi News LP test discs are also good.