I've been waxing the tops of my beers for the last 6 batches now. I wouldn't say that it neccesarily serves any functional purpose (though it certainly makes sure there is a great seal).
I do it for several reasons.
1 - I haven't gotten around to making labels for my beers, because I don't like the idea of having to peel them off again. Using different colors of wax allows me to know which beer is which.
2 - It makes getting the beer open take a little bit longer, and requires a certain skill due to the wax formula I use. Some might say this is idiocy, but nothing irks me more than someone drinking a brew I've spent time and energy on without even realizing it's homemade.
3 - I enjoy artsy stuff. So, yeah, dipping things in hot wax is right up my alley.
When I decided to do this I scoured the interwebs for advice, and there isn't much out there. Buying wax for dipping is probably the easy thing to do, but I like to make things myself so I can up with my own recipe. Here is what I came up with that works well for me.
I use a large tin (one for whole peeled tomatos) and melt 10 crayons in it, a quarter lb of parafin wax, and a whole bunch of hot glue sticks. This gives me great color, a nice shine, and tough so that it is difficult, but not impossible to get off the beer cap. Get the mixture good and hot on the stove at medium heat. Take the capped bottle, dip it in, give it a quarter turn while in the wax, lift it out and spin it so it doesn't drip, and finally bang it on the counter a few times (you'll need some padding so you don't smash your bottle). The banging on the counter helps to get really dramatic drips of wax.
If you let the mixture heat up sufficiently, it runs thin enough that the bottle cap can be popped off with a opener.
Best of luck.