2 reasons basically. One, they're worth more points than regular line clears. And two, it helps you with piece positioning.
T-Spin setups are a really good way to rack up points, probably the "easiest" way to get an SS rank in TE's Ultra mode:
It's still quite difficult to set them up properly and execute, but if you do it right you'll blow by the SS rank threshold no problem. I find T-spin setups tedious so I just went for as many back to back Tetrises as possible, and it was extremely hard to get it that way because you have to play fast as hell and make almost no errors.
As for piece positioning, sometimes T-Spin opportunities just present themselves and it becomes easy to understand their utility. For example:
Let's say your field looks like the first picture, and you accidentally (or intentionally) place the O piece overhanging the T shaped gap. You can fix this hold by dropping in the T piece aligned like in picture 2, then rotating it once it's inside the hole so as to fill it properly. When you start getting better you'll start building overhangs and stuff that you know you can fill with tspins because this gives you more points and options for stack building as they can make room for other pieces that would have ruined your stack otherwise.