As pointed out, they give you 1 happy when discovered, and otherwise have to be worked by a population point within a city for the benefit. You can see what they will provide by hovering over the tile, just like any other tile.
Magma_Dragoon pointed out that Old Faithful gives a static bonus in your territory; let me add that likewise El Dorado gives the first person to discover it a big chunk of gold. There may be others that work outside the "normal" rules, but they're the exception.