They also cast illumination on other objects, which may be useful.
They extinguish automatically after a short time.
In this regard there are 3 (4) kinds of "lamps":
- paraffin lamp
- bunsen burner
- (camp fires - technically they behave the same: instant save and light source, but can be fueled by throwing logs in)
They all work alike and may be lit by left-clicking them; doing so causes an instant game save. (No in-game time loss) This makes them the preferable save mechanism during the day, because you probably want to use as much of the daylight as possible.
But keep in mind that they don't heal you - for that you need a bed.