Most of the time they are nothing more than an site:xyz.com equivalent that is just easier to access and you can group them to say something like !dev and search hn, stackoverflow etc in one search without all the blog spam in between.
The engine should automatically detect that I want to be booted to a third-party site? Err, no. That would be infuriating behaviour if it happened without explicit instruction.
Maybe it's just me but those always seem vastly gratuitous. Like shouldn't the engine figure that out automatically? It's like half its job.