It commonly thought that they do nothing, but they seem to keep TCP connections open for quite a long time. A assume a hand written scanning client could detect and mitigate the delay but it's going to hold open the sessions on the firewall exit on the other side. If there are enough of these maybe someone might do something.
Makes me smile when I look at the logs, that's enough for me.
It's been covered quite a bit here on HN.
