What started as a dream for a worldwide library of sorts, has transformed into not only a global repository of knowledge but also the most popular and widely deployed Application Platform: the World Wide Web.
The poster child for Agile, it was not developed as a whole by a single entity, but rather grew as servers and clients expanded it's capabilities. Standards grew along with them.
While growing a solution works very well for discovering what works and what doesn't, it hardly leads to a consistent and easy to apply programming model. This is especially true for security: where ideally the simplest thing that works is also the most secure, it is far too easy to introduce vulnerabilities like XSS, CSRF or Clickjacking.
Because HTTP is an extensible protocol browsers have pioneered some useful headers to prevent or increase the difficulty of exploiting these vulnerabilities. Knowing what they are and when to apply them can help you increase the security of your system.