Although I am sure we don't fully understand everything there is to know about this it is my understanding that the splicing process is useful in that you can create multiple RNA transcripts from one single coding sequence by splicing exons and combining them in different ways. i.e.
exon 1 + exon 2 + exon 3 gives you one transcript where as
exon 2 + exon 1 + exon 3 give you another variation.
This means that one gene can produce various transcripts and ultimately various proteins.
I also suspect that there is various regulatory information contained in the introns. I am not sure if this is the answer you were looking for. Do you have other thoughts?