They are just another way to represent a number like Decimal (the stuff we know and love, binary (the art of counting "1"s and "0"s), etc.
1=1=0001
2=2=0010
3=3=0011
4=4=0100
5=5=0101
6=6=0110
7=7=0111
8=8=1000
9=9=1001
10=A=1010
11=B=1011
12=C=1100
13=D=1101
14=E=1110
15=F=1111
It is easier to represent binary numbers with Hex since each place is 4 binary places. If you used decimal the conversion would be harder.