They were origionally designed to prevent core chipping... but that can be done with your eyes and with some common sense. They do however provide a LITTLE bit of extra cooling ability... since they're in contact with much of the substrate, and the substrate itself acts as a heatsink for the core... the more heat you can move out of there, the cooler the CPU will run... whether it makes a noticeable difference or not is another story. When I built my brother's computer, I got a free copper shim from Tiger Direct with the CPU... so I installed the CPU with AS3 and no shim... 34C idle, 48 C under load. Installed the shim... 34C idle, 48C under load. Put a tiny bit of the non-conductive white thermal compound that came with the heatsink/fan on the shim to eliminate air gaps, 34C idle, and 44C under load.
I don't recommend using AS3 to do that cause it could short out something by connecting a bunch of bridges.