To keep it simple, the point of using them is that when heated they produce vapour and they also hold the other ingredients in solution at a reasonable concentration (generally 0-3.6% nicotine, and variable concentrations of flavouring). Without the PG or VG, you would just have a combination of pure nicotine and flavouring agents which when heated would produce no visible vapour, and the pure nicotine would likely kill you!
In general, PG is better at carrying flavour, and VG produces thicker, heavier vapour. VG tends to have a moderating effect on
throat hit and can mute flavours. Many have their own preferences, and a few people are sensitive to one or the other (most commonly PG). I personally find PG mixed with 10-20% VG seems to give the best results for me. Those with a PG sensitivity would probably
vape all VG based liquids, those who like huge vapour clouds might prefer a 50/50 mix.