My knowledge on this is the following :
 
Pair from 1 device to another and data is magically transferred.
 

Bluetooth is generally considered to create vulnerabilities in Cell Phones and other devices when enabled, but as far as Data transfer goes, it is probably much more stable than some alternatives, but much slower than wifi.
 
tbh, it's a lot of information and it's probably easier to just read the wiki article. Pretty hard to summarize that. Obviously, PS4 Controllers connect via bluetooth, and use it to turn on the PS4. I believe some PCs can also have bluetooth enabled as a security feature, where if the security device connected to them is not in proximity, they remain locked. 
 
It's a very useful technology, but everything has its Pros and Cons. Available listening port, (receiving bluetooth transmission can create a vulnerability which allows the Master device sending the transmission to take control of the bluetooth enabled device), short range, [Class 3 ~1m; Class 2 ~10m; Class 1 (Industrial) ~100m], Low Data transfer rates of 1-3 Mb/s, (Technically that's also a pro in some ways, given it makes it less vulnerable to direct data transfer via bluetooth, but only for large files which are probably less concerning than smaller ones), High and Low power modes provide 79 or 40 channels respectively, which allow the use of Adaptive Frequency-hopping to improve resistance to radio frequency interference, which is why it tends to be more stable, and what makes it great for wireless controllers and other HID devices.
 
Wiki is here: https://en.wikipedia.org/wiki/Bluetooth
 
Whoever put that up did a great job; wikipedia is usually good, but that page is much more information oriented than usual. 

 
http://www.steves-internet-guide.com/beginners-guide-bluetooth/ 

What do you want to use Bluetooth for ?


How Bluetooth Works

Something else to consider, make sure to buy the latest Gen, which is Bluetooth 5.
It is retro compatible with previous generations.