A preview video improves your conversion rate by showing your app's features in a simple and attractive way. Instead of showing your potential users static screenshots, give them the opportunity to see the app for themselves before they download it.
A preview video may not only improve your CR, but can also improve your ranking. By uploading your video to YouTube and placing a backlink to your apps page, your app will not only move up in the ranking for your current keywords but may also rank for other keywords as well.
Speaking of YouTube, you may use your video for mobile campaigns through ads or sponsored youtube videos, and reach people directly from YouTube or from other apps.