You can use them in 3 interesting ways:
1) Lists as a way of organizing your followers
2) Lists as a form of recommendation
3) Lists as a way of measuring influence.
Also if you find yourself following too many people this would be a really helpful tool.
More information at Mashable
5 ways to take the most of them for your blog at The Bloggers\' Bulletin

1. Plan to share your lists outside of Twitter
2. Add yourself to your List (if necessary)
3. Name your List well
4. Create Lists for your target audience
5. Promote and share your lists in the right manner
My advice; just enjoy it and have fun… remember you always have the option to make any list private.
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