They are the Win32 equivalent to Unix signals, and let you catch CPU exceptions such as access violation, illegal instruction, divide by zero.
With the right compiler options (/EHa for Visual C++), C++ exceptions use the same mechanism as stack unwinding works properly for both C++ (user) exceptions and SEH (OS) exceptions.
Unlike C++ exceptions, SEH are not typed but all share the same data structure which has an exception code (the cause) and additional information on what code faulted and what the CPU registers held at the time of the fault. See GetExceptionCode and GetExceptionInformation for more details on this.
Also, SEH has “first-chance” handling, which allows you to log or otherwise handle the exception before unwinding destroys all the local variables.