Essentially they are acrylic cases meant to protect and preserve sealed video games. VGA (also known as CGA for action figures) grade the game's condition using strict criteria, and seal the game up in these cases to preserve the grade. If you're in the market to buy a sealed copy of a rare game, you can tell straight away what you are getting and how mint it is, and bid accordingly. Higher grades = higher prices!
If you are interested in learning more about VGA or sealed games, there is a special forum dedicated to such things called
www.sealedgameheaven.com, where many of the sealed game collectors there are avid fans of VGA grading, and have some of the most awesome graded collections you will ever see!