It keeps the electrons from jumping between the wires instead of traveling along them. Although the wire is conductive to the movement of electrons along it, it also has a degree of resistance that opposes that same movement. They are using the air between the wires as an insulator, to leave traveling along the wire as the path of least resistance. Getting near live wires is extremely dangerous lest the electrons decide to use you as their pathway to some other destination. Electrons can and will travel through the air, as lightning for example, to get to you, to travel through you, to get from A to B.