Lego Sets help the child right from the early years (as early as 3-4 years of age) in developing tactile skills (skills of using fingers) and helps in hand and eye coordination.
I can provide some ways in which it helps any child:

1. Tactile or motor ability - as you read earlier, this is the ability of the child to use his hands and fingers in coordination with the eyes.
   Children that have developed this skills are later on found to be quite good at using the keyboard on the computer, as well as playing video games (purely from a hand and eye coordination point of view - I am not talking about video games).
   
2. Thinking in 3 Dimension - this is the skill to understand 3 dimensional figures and objects.
   Children have been found to be good at imagining figures from a geometric perspective, especially lines, angles, and various shapes like cubes etc.
   
3. Mechanics - this is probably one of the best ways to understand how machines work.
   The gears, pulleys and motors that Lego allows to be experimented with are truly awesome.
   Kids today as young as 7 years are in a position to determine what a rack and pinion connection is or a differential gear.
   I recall when I was a kid this knowledge was not easily available or if available was only in the books or if your family took you to the neighbourhood car mechanic.
   
4. Imagination - using the various pieces that are available on a Lego Set, you can let the imagination of your child run wild.
   I have seen kids building their own air craft carriers, submarines, tanks, cities, ships, dams, tankers, robots, exotic buildings and whatnot.
   The ability to create something using these blocks is unparalleled.
   
5. Lego Sets keep children occupied on their own for hours together.
   Especially during vacation time or holidays, these sets provide a good avenue for children to remain creatively occupied and expand their imagination.
   It provides parents the space to allow their children to experiment within the confines of their home.
   Most importantly they keep children away from the bad effects of being constantly on the internet or watching TV.
   
6. Lego Sets have helped children develop patience and perseverance.
   Many a time, a child could get stuck temporarily in understanding the fitting of the various blocks, but if the child sticks and overcomes these blocks, then the end result in terms of increasing the child's self confidence is increased.
   
7. It helps children develop discipline and following a process.
   This is valuable in their later years as they grow up to become responsible citizens.
   
8. It has been found that children who are good at Lego are generally good at studies, especially mathematics and science, and tend to take a career in science or engineering.
   

Thus, given above are some of the very clear advantages that I have noticed amongst children over the last many years.