Vex from the Thieves' Guild explains this a bit. After collecting all 24 Unusual Gems, which are later called Stones of Barenziah after you show one to Vex, you bring them all to Vex. Once you do that, she'll send you on a quest to find the Crown of Barenziah in Tovald's Cave. After bringing the crown back to her, she'll set all the gems in the crown and set it up on display in the Thieves' Guild. Besides this nice looking decoration piece for the guild, you'll also receive the bonus Prowler's Profit. With this power, your chances of finding multiple gems in urns, chests, urns, bodies, etc is raised significantly. People post pictures of piles and piles of gems they find with this active, so I assume it is really useful.