They change the structuring (basically the texture) of the base. Having the correct structure is almost as important (some would say more) as the correct wax.
The structure should be established with a suitable stone grind but when you wax the skis you will fill the grooves in the base and need to brush to make them work as intended. For an aggressive structure you need an aggressive brush to remove the wax, whereas for a fine structure you need a soft brush so that you don't damage it.
In order of aggressiveness - steel, brass, nylon, horsehair.
An aggressive structure is good when the snowpack is wet as it will reduce suction between your skis and the snow. Conversely when the snowpack is very very dry/cold a minimalist structure will reduce friction.
For a very wet snowpack, like melty spring snow, you want a very aggressive structure, almost like a vinyl record - works like the grooves on a car tyre to expel excess water from under the ski - however this will make the skis slow on dry snow so ideally you need 2 or more pairs of skis to do this.
You can get pretty crazy on the structuring with things like diamond and gradient structures (structuring the edges/tips/tails differently to the centre of the ski). Like waxing, it's a bit of an art and different techs/skiers will have different opinions about what works best.