Quote Originally Posted by blazer-glory
What do they add?
Have a look at CA's download page: it has links to the respective readme's (except those of S:TW). Which games are you playing? If only have S:TW, you need the 1.1 patch (I don't have the readme for that one) but if you have the Mongol Invasion expansion or the Warlord or Gold edition, you need 1.02. According to the readme, it has the following improvements:
Quote Originally Posted by 1.02 ReadMe
Improvements

Multiplayer
1) Multiplayer morale has been changed back to the settings as in the original Shogun: Total War release. No longer does your army have a morale boost to start with. The multiplayer is now more challenging and it’s easier to rout the enemy.
2) It is now possible to play Mongol Vs Mongol and Early Japanese Vs Early Japanese games (4 players maximum per faction with up to 8 players in total per game).
3) Upgrade costs for weapons and armor have increased slightly.
4) Warrior Monks, Korean Guardsmen, Mongol Light Cavalry, Musketeers and Mongol Heavy Cavalry are more expensive in multiplayer to balance their abilities.
5) Unit sizes have been reviewed to improve balancing.
6) Minimum multiplayer game time is now 10 minutes.

General
1) Hidden units cannot be seen by attacking units (apart from the general's unit).
2) Troop fatigue and march speed control has been improved.
3) Reinforcement start points have been reviewed to enhance realism.
4) A series of code fixes have been made to improve stability.
5) A few minor text improvements have been implemented (Japanese only). These are found in Gold.zip.
In general, you should always use the latest patch for your game. The only exception is for R:TW, when you want to play certain mods. Most current modifications are designed for the 1.2 patch and do not work with R:TW 1.3/1.5.