UML diagrams are useful for capturing and communicating requirements and ensuring that the system meets those requirements. They can be used iteratively and during various stages of planning, design, development, and testing.
From the topic: Using Models within the Development Process at http://msdn.microsoft.com/en-us/library/dd409423%28VS.100%29.aspx
A model can help you visualize the world in which your system works, clarify users' needs, define the
architecture of your system, analyze the code, and ensure that your code meets the requirements.
You might also want to read my response to the following post:
How to learn “good software design/architecture”? at https://stackoverflow.com/questions/268231/how-to-learn-good-software-design-architecture/2293489#2293489