The band doesn't hear what the audience is hearing, because the speakers are in front of the band pointing out at the audience. That's why the band has monitor speakers - those little ones at the front of the stage, pointing back at the band, that you can see if you're down in the front of the mosh pit.
I'm not a performer, but I'd imagine that setup is fine for just playing 'normally', playing your part and listening to the rest of the band. Given the crappy acoustics, dodgy mixing and love of bass demonstrated by many concert venues, though, I think performers use IEMs when they want to be able to hear some particular part of the music more clearly than would otherwise be the case. If you're playing a complex rhythm guitar bit which isn't mixed very highly on the soundboard, for e.g., and is consequently getting buried under the bass player and the drummer, IEMs probably help you hear what you're doing.
(of course, the audience probably can't hear you anyway, so you could just put the damn guitar down and have a beer. but hey, gotta keep up appearances!)
and the j-poppers are probably using 'em so they can lipsync right, as someone else said.
just my guess, anyway. If you actually play anything in a band, do correct me