I like them for identifying my buddy if group diving at night (buy something other than the bog standard green), and some boat captains like you to wear them in case you're on the surface without a light. Also makes finding your body easier in the event you die during the dive
Buy the 12 hour ones if you can find them - might as well have one that lasts all night in the event you get seperated from the boat. Camping sections of stores like Target are usually the cheapest source - pay $1.50 instead of the $5 I've seen asked for them in dive stores.
Usually they have a small hole and hook on one end - easiest thing to do is just ziptie them around the neck of your tank, or to a hose near the regulator if you're doing more than one dive. Always take spares, because they have a surprisingly high failure rate out of the packet - either trough mishandling or being out of date.
Here's a hint to all divers - keep your extras out of sight on the dive boat - I ended up dishing out spares plus zipties to three strangers on the last dive (who were all asked before boarding if they had them and they said yes) because they didn't have them. The zipties I don't mind, but my save-a-dive kit is for saving my dives. At least offer to pay a dollar or two for them, and don't stick your hand out for one when asking. Buy your bloody own. Prepared divers aren't charities.
Throw them in the bin on shore when finished - don't throw them over the side of the boat like some divers do. And don't break them open underwater to play with the iridescence - sure it looks cool, but do you really want to be swimming in those chemicals and adding it to the environment?
Some people prefer battery operating glowstick substitutes.