They can be quite valuable since players can use favors to heal or resurrect their characters (even during scenarios). Hosts can use large amounts of favors to invoke powerful ritual magic to help them or hinder the opponents, before each scenario/battle.
Each character is given a few favors at the beginning of the event. Additional favors are seeded into the game by Game Masters, using roleplaying content only. So the best way of gaining favors (aside from figuring out ways of getting them from other players) is to take part in roleplaying activities. If you can't find any quests or feel left behind you can always partake in monstering - that will get you into a lot of action without risking your character and players who monster, are guaranteed to get some favors as payment when they are done.
Favors can be looted from anyone at any time - except players who are taking part in an active scenario. If a character is killed while participating in a scenario battle hes favors can not be looted.
If a players wishes to heal or resurrect his character using favors, he can do so by approaching NPC's like The Diciples, Avatars or other high-level plot characters. Now there is no set fee for helping you so expect to pay different amounts of favors to different characters and different situations. Some NPC's might charge outrageous amounts, depending on your character or outright refuse to help you at all (for example if a champion of light seeks healing from the Dark Avatar). While other characters might give you a better price if you roleplay with them bit. It is usually always up to the NPC to name the price and conditions of your healing/resurrection.
Hosts can use favors for ritual magic only before official scenarios or coordinated (with the Game Masters) battles and in the presence of a Diciple. The amount of favors needed, is marked on the magic scroll for the ritual, which the host must also have to invoke the magic.