They give us confidence. We're part of the group. We are accepted. This is a basic human need. We need to know that we are part of the community and that we belong.
Social norms have some drawbacks, though.
They tend to stifle new and innovative ideas. People are ostracized from groups. Outcasts are left to struggle on their own. Likewise, people with exceptional ability, who are well recognized and accepted by a community, may be perceived, at times, to be superhuman. These guys can do anything and do it well.