So, basically, everyone on the internet was used as a giant "botnet" to teach Skynet how to read, understand voices, and differentiate between objects in an image/video. And it probably sent it all to the NSA at the same time.
But seriously, people using Captcha have trained or are currently training computers (through machine learning) in the following fields:
1. How to read and differentiate between letters/words better than humans can. Improving OCR, etc.
2. How to understand various human voices saying words or letters/numbers. Improving speech-to-text engines (such as that used to transcribe voicemail in Google Voice).
3. How to recognize various objects in photos. Street signs, trees, animals, people, etc.
4. ??? I'm sure the "I am not a robot" version is sending a lot of information about us. What is it training the machine to do with that information? Mimic how a human interacts with a browser?
Really cool! And kind of scary.