A HANS device basically tethers your head to your shoulders so you don't snap your neck in an impact. Watch the difference in this rally crash between the co-driver wearing a HANS device and his driver who isn't.
Even in this low-speed crash, the difference is huge. These things save lives, and if you're putting yourself in a competitive environment that doesn't already mandate using a HANS device, you're gonna want one.
(Hat tip to Mark Huebbe!)