They are very useful, and you should use them if you can.
They are only available if you use the InnoDB storage engine, instead of the default MyISAM one. There are some things you should know about InnoDB (the most important being: due to the way it stores the data and indexes tables, you should choose a short primary key). Using InnoDB comes with other benefits: the ability to use transactions, finer control over table locking, and it's less likely to screw up your data when a crash occurs.
For most purposes InnoDB is superior to MyISAM. I would say you should use MyISAM only if
- you have an acute limit on how much space you can use (InnoDB tables take up a fair bit more space)
- you require full-text search capabilities (MyISAM is better for this purpose).