The strobe effect helps make you more visible to others. Whereas having the steady light on would help you see what's ahead of you, the strobe effect catches the attention of motorists and pedestrians who might not otherwise think to look for a passing cyclist at night. This can be especially helpful at dusk when you don't necessarily need the light to see your path, but would still want to draw attention to yourself.
I keep two (Planet Bike
) headlights on my bike, and often I'll leave one on steady and one flashing, depending on where/when I'm riding.
'09 Jamis Satellite Femme | stock Jamis Road Sport -- road
'08 Trek 7.2FX | Terry Cite -- commuter
'77 Raleigh Grand Prix mixte | stock Brooks (vinyl) -- just for fun!