Wands are used only by sorcerers. They deal damage and use a small amount of mana. Druids cannot use Wands, they use rods instead.
Wands are One-Handed, so they can be used together with a shield, and they fire every turn.
Unlike normal weapons these weapons can fire at distance.
Wands cause Fire, Death or Energy damage depending upon the wand. A benefit of this is that every hit causes damage and the damage is not mitigated by the creature's armor. The drawback is that some creatures are immune to these types of damage and with the high level wands you can run out of mana very quickly if you hunt without stop for a while.
Wands are lootable from a variety of magically-inclined monsters, so (as with any equipment purchase) remember to search around and look for wands sold by players which will be at far lower prices than those on offer by the merchant NPCs.