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It's good for applications that are able to use the multiple cores. If they do take advantage of the multiple cores, they will get tasks done faster (like unzipping a file, converting movies, gaming, etc.). I'm not entirely sure how Windows itself utilizes the cores with multiple applications running (you can go into task manager and see the usage on each core) but generally more = better.
Also a good way to think about it is this (I do this all the time going back and forth to school): You're moving stuff to your dorm after a weekend home and you can only carry so much stuff before having to make a second trip. If you have multiple people (quad core) to help you with moving your stuff you'll get it done a lot faster than just by yourself (single core).
When looking for a processor the clock speed is always a good indication of the processor speed and the size cache it has (bigger = better as usual). Ideally you'll want 1-2mb of cache per core (so if a quad core processor has 4mb of cache, divide it by the core count (4) and you'll get 1mb of cache per core).
It's not so much that it's faster, which I guess it can be, it's that it can sustain a much higher load, making it appear faster when it's not slowed down by tasks.