Some games depend alot on cpu like FFXIV's benchmark. And also if you are doing something that requires alot of calculations like tool paths with a cad software or encoding something in photoshop it helps alot.
If you are part of the 4.0 GHz club you get uber-VIP access to the champagne room where the strippers pay you for lap dances.
No, but seriously. If you buy a CPU that is stock 2.66 Ghz and you can get it to 4.0 Ghz that is a 50% increase in speed for the same price. Gains vary from game to game (and other applications) and also are dependent on your GPU and resolution but the main idea is getting more for your money.