Here is how BKS Iyengar describes it in his Light on Pranayama:
Pranayama is a conscious prolongation of inhalation, retention and exhalation.
Inhalation is the act of receiving the primeval energy in the form of breath.
Retention is when the breath is held in order to savour that energy.
In exhalation all thoughts and emotions are emptied with the breath. Imagine being able to let go of all your anxiety in the out-breath.
The practice of Pranayama develops a steady mind, strong will-power and sound judgement.
Not bad for something we all get for free! Make sure you make your lungs strong and elastic to receive the gift of air.