For a couple reasons that'll I'll try to make quick and simple.
One, is to keep under hood temps down. The cooler the temps, the more your ecu can increase air/fuel without fear of detonation or power loss and the cooler your air intake, depending.
Not, it gets a bit more complicated. Second, by retaining heat, you retain energy. When retaining this heat energy and directing it by wrapping your exhaust system, the gases increase the "scavenging effect" and improve the performance of the intake and exhaust systems as a whole. The exhaust gases are therefore removed faster when it's hot. This also will theoretically improve the turbo's response since less energy is lost to the atmosphere and is thus pushed through the turbo. This is also why it's important especially on a N/A car, to have a proper header/exhaust manifold. Proper scavenging can have a dramatic affect on a N/A.
Hope that helps a bit. I definitely could've explained it a bit more but that should be enough to get you started or at least give you the gist.