Sounding rockets provide a trifecta of new science, new technology, and new scientists to the world of astronomy.
Science: Sounding rocket payloads can be purpose-built to target objects which cannot be effectively observed with current orbiting space telescopes. Bright stars, for instance, would damage the Hubble's detectors, but can be easily observed with a less sensitive rocket-borne telescope.
Technology: NASA uses sounding rockets to test out new technologies which show promise for future large-scale missions. Implementing new technologies on a low-budget rocket mission proves that they can next be used for large-scale orbital missions.
New Scientists: Perhaps the most important aspect of sounding rockets is their effectiveness at training highly qualified new scientists. A sounding rocket mission is small enough that graduate student or recent doctorate can take the leading role and still produce new science and technology. These new rocketeers become well-prepared to take charge of NASA's next generation of large-scale science missions.