It actually has a medical value.
If you happened to be hospitalized and end up being confined to the bed for a few days nurses/doctors will use the same type of garment on your legs. That one is a little different because it is hooked up to an air machine which inflates and then deflates. Its purpose is to make sure you have good circulation.
Take that to sports...
The pressure does the same thing. It stimulates the blood flow on that arm which is designed to keep the shooting arm, or say a pitching arm, warm. That way they don't run as large of a risk of muscles tightening up and don't have to warm up again.
It has become somewhat of a fashion statement as well.