Well, they do whatever you program them to do. By default in most jet and space sims, they handle the roll axis. In most propeller sims, they handle turning left and right (the stick handles up/down and roll).
Of course, in good pedals, you not only have a rudder axis, but also toe brakes (either as buttons or as honest to goodness axes of their own). Those can likewise be programmed.
For me, if I had a set of pedals, they'd control my roll axis in most games, while the left toe-brake would handle afterburner and the right toe-break would handle some commonly used function like shield balancing or something.