THE WHEELS
The wheels, otherwise known as the "bio wheels" perform the job of assisting in the biological filtration in your aquarium. I have worked with the filters that contained the bio wheels, and I can find but one benefit to the added part.
As the beneficial bacteria grow and accumulate in your aquarium, they will need places to collect. This will happen in your filter media (ie. sponge, filter floss, etc.), your gravel, and anywhere else it can find to collect and grow. Once an aquarium is cycled, there is regular maintenance to be performed on the aquarium, including water changes and cleaning of filter media and gravel. The wheel is one thing that isn't normally "cleaned" or replaced. The bacteria will collect in the wheel, as in other areas. The wheel can help to ensure that the aquarium, when cleaned, retains some of this bacteria to continue to break down the ammonia in the water as the water flows through it and back into the aquarium. As the water is forced back into the tank, some of the bacteria also will be washed back into the aquarium, giving it a chance to begin collecting in other areas again, as well.

However beneficial this turns out to be is really unknown to me at this time. I have spoken with a company representative of the Penguin Bio Wheel filtration system, and while his claims were that this was indeed very beneficial to any aquaria that it is used for, I have yet to see it make any tremendous difference in the aquariums in which I have used it.
There are some problems that are commonly found with the bio wheels, which at times discourages the use of this type of filter. The wheels have been known to stop turning after a period of time. Although the company assures us that turning or not, the wheel is doing it's job, I have no confirmation to offer at this time.