In a nutshell -
These programs read the hand history files pulling out bits of data and store these bits in a database and then can create 'views' of this data such as
profit per hand in cash games, how many times you've seen AA, winning % with AA, $$ won with AA
How often 'joefish' bets out UTG, what
hands did he showdown with, is he making money or losing money
What your profit is in $2+$.25 tournaments with more than 1000 players, what % of hands did you go to showdown with, what % won at showdown
Hand replayer so that you can see how a specifc hand played out
Ability to display player stats as an overlay on the table as you are playing, more commonly known as a HUD (Heads Up Display)
All of the websites for these tools have screenshots that show a good sample of what they can do.