There's a good explanation of why some people like to use them
here (clicky).An example from the lengthy article follows.
Quote:
...The principle behind a sway bar is to achieve a ‘balance’ to the car front to rear such that when we turn at our chosen speed we can maintain control of the car. As a Mini Cooper will naturally understeer in order to get closer to a balance, we either have to decrease the understeer OR INCREASE oversteer. In the true sense of the equation we can only decrease understeer (independent from affecting the rear) by increasing the tire grip on the front tires by using wider or stickier tires. Once you have done all you can to minimize understeer at the front, you need to compromise the overall handling in order to achieve the desired balance. This is done by inducing oversteer in the rear by the addition of a sway bar. The key here is to understand that a rear bar does not decrease understeer but rather it increases oversteer in an attempt to get to the balance point!...[edit (forgot the part about the front!): Now comes the question; when do you use or need a front sway bar. Remember I talked about a rear bar is all that is needed with a proper shock/spring ride height setup is achieved; well a front bar is used to again compromise! As body roll has been identified as the major contributor to handling if the car has less than optimum spring/shock and/or ride height, then a front bar is helpful.]
