I started doing them to work on my squat form. I knew I was leaning over too much, so I started to do some overhead squats to practice keeping my back more upright. I quickly learned that my entire back was alot weaker than I thought it was. Now with a little more strength development in my back, and some practice, I can overhead squat about 205. (365 full squat max)
The problem now being that my triceps and shoulders begin to tire out and I can't hold that weight overhead very well.
At least I know where to start concentrating the next efforts.
So yes, learn to do them. If nothing else, it's a nice break from a full kick-your-ass squat workout.