They can be used to simplify the way you obtain many results.
In many applications (physics, economics, engineering), you end up with differential equations involving cycles, which can be expressed in terms of sines and cosines. Instead, you can use complex exponentials to encode the same information. Why would you want to do that? because exponentials behave much nicer under integration and differentiation.
Also, since complex numbers are so closely related with rotations, they are perfect to represent many physical properties were analogous symmetries are involved. When you get to quantum mechanics, you find a property called "spin" (which is NOT physical rotation), the behavior of which is very similar to how imaginary numbers combine. when you combine the matrices that describe this property, you get i's all over.
At a deeper level, it turns out that a strong connection can be established between the electromagnetic field and quantum mechanics via something called "gauge invariance". In a nutshell, if you require that the schrodinger equation give the same solution regardless of the complex phase of your wavefunction, you end up needing the EM field.
One more: the electoweak interaction has, as symmetry group (which is closely related to how it behaves), the same as that of complex numbers (U(1)).
Yet another: have you heard of CP-violation? it is basically the fact that matter and antimatter behave differently (which is quite surprising, since they are essentially mirror images of each other). CP-violation can be understood and quantified in terms of a complex phase in a matrix that relates the different types of quarks.