They're like two sets of Hit Points, usually paired with "DR/(something)"-type armor, such as ballistic and bruising, for example. Wound/Vitality Points make for a dangerous, gritty feeling in a game. This suits some settings well. Film noir-style, espionage, old west, the list goes on.
(On a slightly-tangental note: is anyone else really looking forward to
the upcoming Watchmen movie?)
Back on topic: In a D&D-type system, your character's Wound Points (WP) are generally represented by your raw Constitution score and remains static, while your Vitality Points (VP) are handled like class Hit Dice, increasing with level.
VPs cover things like non-lethal combat, exhaustion, many poisons and illnesses, and are often used to power magic (i.e. the wizard resting after casting a mighty spell). They usually refresh fairly quickly and easily, encouraging brief downtimes and strike-and-stand patterns of movement. As they accumulate players can often spend 'blocks' of VP to produce powerful effects.
Your WP total is the yardstick that measures your life, your physical bod. If it's your Constitution score, then in a "3d6-environment" NPCs will average 10-12 or so, while heroes will pump theirs as they can, let's say 14-16+. This is deadly (repeat
-deadly) damage, such as that sustained when hit by a car or thrown out a high window. Game-wise, this is damage from bullets, fire, critical hits (that 2d6/19-20x2 two-handed greatsword suddenly becomes a
lot scarier). If you're used to D&D, you can be quite shocked by the vulnerability of even the strongest, highest-level characters. This is the system for James Bond's Man With The Golden Gun and Mako's sorcerer in Conan The Barbarian.
If you want to emulate Lovecraft or Tarentino, this is a natural fit.
Peace.