Thumbholes are a great feature if you often find your sleeves bunching up when pulling on your jacket or if your hands run cold on the slopes. They keep your sleeves anchored in place, so no annoying ride-up during layering, and they extend a bit of extra coverage over your wrists and the back of your hands—nice for sealing the gap between your gloves and jacket.
They're especially handy for cold-weather riding and under-glove layering, giving you extra protection against cold air sneaking in at the wrist. That said, thumbholes aren't for everyone. If you have larger hands, some can feel tight or restrictive, so it's worth checking the sizing. Also, they don't replace gloves—they just add a little extra warmth and coverage.
If you tend to push your sleeves up or find yourself constantly tugging them back down, thumbholes are worth seeking out. Otherwise, they're a nice bonus but not essential.