For customers, liquidity and price accuracy, ticket availability, and the chance for discount tickets (in the case where brokers make a bad call or execute badly, which happens often).
For venues and promoters, guaranteed attendance and immediate cashflow (sell 50,000 tickets at an average of $80 immediately instead of spread over 9-12 months, that's money that can be invested back into their business or something else, and reduces risk).
For artists and promoters, the capability to hold back chunks of inventory for later sale on the secondary market at increased cost. This allows them to take advantage of a functioning market to make more money while also avoiding fan displeasure at high ticket prices. Also, the ability to say they sold out X size venue in Y time, which can denote popularity (or be used to claim a level of popularity).
Brokers take on risk for a possible reward. If you're buying tickets that aren't intended for immediate resale, and are holding them for 9-12 months (common), anything can happen in that time period. That artist may become less popular, or even just get sick and cancel much of the tour (in which case you just had your money tied up for months, at best losing out on other investments and at worst paying some percentage on a credit account), which is a loss.
It's not really all that different than other financial markets.
Edit: As much as some artists like to complain about the secondary market, there's a really simple solution that just works. Increase supply. Garth Brooks plays twice a night and multiple days in a row in the same venue at each stop on a tour. Kid Rock will play seven consecutive days in a row in Detroit. The downside? They move the risk from the brokers to the venue, promoters and artist, because they may lose money if they don't fill enough seats. This itself is an illustration of the role the secondary market plays, and indeed heavily bought events with inflated prices often get additional dates added which depress the market prices.