Pumping has been rumored to cause some additional growth in your dick when done regularly. The theory is that your blood expands the tissue and the tissue stretches and after multiple times retains it's new size.
Whether that's true or not, I did notice a benefit of fun/sensation when testing one of these out for the first time.
There's a tight pain that feels good when pumps are used successfully. This means using it while erect, while lubricated, and slowly to begin.