Fate points are used to save the character from certain death, or any other negative situation. When a player wants to save their character they expend one fate point, the result of which is that, for example, a fatal blow is changed into a mere scratch, or a killing spear thrust is stopped by the Gold AmEx card in your wallet. You know, the standard million to one chance. If you like, fate points convert a mere thousand to one chance that you will live into that illusive million to one chance, which means that your character will be assured of survival.
In this respect they are quite valuable - when they are all gone you can cheat death no more. As Death is probably very annoyed at you cheating him in the first place, be warned!