There rich in the essentail fats omega 3 and 6. There vital for the brain, nervous system, immune system, CV system and skin. I've never heard of anyone taking them as a excercise supplement, but lack of these fats is generally bad all round for your health.
You should get about 7% of your calorific intake from these fats (20% from all fats) with routhly equal split between omega 3 and 6, a little more of omega 6 if anything.
There generally found in oily fish, nuts and seeds. If your get plenty of these (especially oily fish) then your probably getting enougth.