Mmmm....I've wondered the same thing i.e.'What are they there for?'.
Some lures come with them, some don't??? I find attaching my clip to a lure that does not have a split ring a lot easier than with ones that do have one. After reading the above posts I think that I'm going to take them all off.
Like Tony says, if you're looking in to it hard enough to want to dictate a certain action or slight variation in bouyancy then you'll have to tie direct. A clip will only come off in one direction and will add that touch of weight (that most of the time you won't need to worry about) that you may not want if you're getting in to specifics. For the majority of people though, this will be something they don't want to think about. Same applies to the split ring. It's not at all necessary so I'm not quite sure why they put it in, but it's weight could play a part if you're looking for perfect suspension (for example). Like I say though, not something the majority will want to worry themselves with.
I always remove the splitring from surface lures; in my view a splitring is kind of limiting the ideal action you want to give to surface lures. For diving lures though it does not really matter, and mostly I leave the splitrings on these lures.