Wheels are the single most important component on the bike. Improving the performance of the wheelset offers benefits in three areas and is the most noticeable performance upgrade. A good set of wheels is the best place to spend your component budget!
Aerodynamics A majority of the energy a rider expends is to overcome the force of wind drag. Wheels are the most significant source of drag on the bike. (The rider is the largest source of drag) Next to the rider's position, aero wheels will make the biggest difference in speed and efficiency.
Weight Because wheels are rotational mass, their influence is much more significant (acceleration, braking, cornering can all be improved.)
Stiffness A high quality wheelset will transfer nearly all of a rider's power into forward motion.