Originally it was for support. Laying bricks long ways on the ground is easy since they have something (ground) to rest on and so the stack is very sturdy. Then you suddenly go and put a hole in the middle of that stack (window) and what are the bricks above the window going to rest on? Putting them in an arch configuration is obvious because [arches are very structurally sound under their own weight](https://en.wikipedia.org/wiki/Arch), but putting them vertical and having them tightly pressed together is also beneficial due to the lower ratio of width to contact area with other bricks making them less likely to fall.
I’d imagine modern brick buildings could probably be built without them or just use them for aesthetic reasons, but it likely depends on the age of the building.
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