What are they?
Conference calls are when company management gets on the phone with Wall Street analysts to give them a review of how the business is going. They are normally held once a quarter right after a company releases earnings - either an hour after the earnings release or early the next day before the market opens.
Individual investors have the ability to listen in on the calls over the internet. The calls are usually available to be listened to live and then are archived for a while afterwards. There are web sites which you can listen to the calls for free - Yahoo Finance usually has a link to the call under the news section for each company.
What do they offer?
During the first half of the conference call management states the latest financials with a breakdown of revenue and the difference costs (labor, SG&A, etc) as a percent of revenue. They also give a qualitative statement of how business is going. The second half of the call is where the management takes questions from stock analysts.
Every now and then I will listen to a conference call if I have a big position in a stock, if a company is going through a particularly turbulent time (like Citibank during the mortgage crisis), or if they have complicated problems where more information would help (like an SEC investigation or something).
But I normally don't listen to conference calls for a few reasons. First, they don't offer a ton of new information. When a company does an earnings release the most important information is: the quarterly earnings, the quarterly revenue, the margins for the quarter, and the guidance for the year. All of this information is available through the earnings releases to be read online. Then, many of the analysts tend to ask questions that were already answered in the pre-question part of the call or are questions that can't be answered. The truth is that if there is information in the earnings report that is very important then it will show up on the newswire.
The second reason is that the calls tend to concentrate on minutia of the operations of the company. If I am listing to a call about Ruth Chris Steakhouse I don't necessarily need to listen to 10 questions about the mix of seafood versus steak sales.
Another reason is that management tends to be exclusively optimistic and I think many investors get suckered into thinking the company is either doing well or doing not-so-well but is fixing it's problems. I mean, would the CEO of GM ever get on a conference call and say something like "Yeah, we have no idea how to build a car as efficiently as Toyota".
Listening to conference calls doesn't hurt so I won't tell you not to do it. But I think many investors listen to calls expecting to pick up some type of overlooked piece of information that will give them an advantage but this usually doesn't happen. I would rather spend my time researching new companies than listen to 90% rehashed information.