The captcha is a visual or audio challenge to the user to prevent bots and automated scripts from accessing the services protected by it.
It is valuable for:
forums that want to prevent spambots/adbots from signing up
protecting downloads from automated access by bots (which is not a security risk in itself, but a bandwidth drain)
Google uses it for search queries if there have been excessive numbers of queries from a single IP adress
A CAPTCHA does not provide any other kind of security, it only provides protection from bots and the rate limiting that comes with it.