Think of Global Light as a workshop light -- one of those caged light bulbs with the hook at the top that mechanics use.
While working on your car's engine, you'll typically hang the shop light somewhere under the hood to illuminate your work space. As you move around the engine compartment, you'll often relocate the hanging light. What happens then?
The light illuminates a different area of the engine, causing different parts to glint while the shadows cast by those parts relocate, shrinking where they were once long, stretching where they were once short.
Altering the Global Light setting in Photoshop is like moving the hanging shop light under the car hood; changing the position or altitude of the Global Light changes the effect of areas lightened or darkened by effects like Bevel and Emboss, Drop Shadow, Inner Shadow, and any style that features the circular angle control.
Why would you use Global Light? Simple: to get all those effects to agree.
In the real world, the hanging light shines on surfaces facing the bulb while shadowing surfaces angled away from the bulb. This is true whether the light is hung above a single, relatively smooth surface like your car's hood or hung to illuminate a complex arrangement of multiple objects with varied angle surfaces, like the car's engine.
In digital art, one of the fastest ways to destroy the illusion of realism is to employ light and shadow effects whose light sources don't correspond, whose different layers or objects are illuminated and shadowed from different angles. By using the Global Light setting in effects such as Bevel and Emboss, Drop Shadow, and others, you ensure that their light sources all correspond, that highlights come from the same place, and that shadows are cast in the same direction, even across multiple objects and multiple layers.
To accomplish this, simply check the Use Global Light tickbox in relevant Layer Style dialog.
Once your effects are configured to use the Global Light, you can universally change where that light comes from by choosing Layer > Layer Style > Global Light, and changing the Angle and Altitude of the Global Light. If you check the Preview box, you can even watch all your effects change as they adapt to the new location of the Global Light.