Combined with a GPS or even not, it can track fuel economy, engine performance data (you should change oil more often if it never gets warmed up), speed, etc.

For compatibility, anything 1996 or later should have OBD-II support since it was mandated by most governments.

For a list of things it can tell you (there were some updates since I have a later ISP spec, but the main ones are early in the list anyway):
http://en.wikipedia.org/wiki/OBD-II_PIDs
Vehicles don't have to support any or all, but if yours has timing advance or manifold vacuum, it could be useful.

Beyond that is any existing bus traffic used to communicate between the modules and/or proprietary modes. For example, I don't have a Tach on my motorcycle, but can read the data on the engine bus (updated 16 times per second).