Like glyphz said, you get better units than are otherwise available in the early game for dirt cheap. Your entire army gets FREE upkeep, a huge boost to your economy in the early game. The typical Crusading targets are excellent cities to own, such as Antioch and Jerusalem. You get high chiv Generals that if placed in a Castle settlement will soon make your factions top-end units available. And to top it all off you get great relations with the Pope, so you can attack your neighbours on your home front.

Seriosly, do not underestimate the power of Crusading.

Jihads are pretty much the same idea, except they are easier to call since you don't need Papal permission.