When you manipulate their controls, MIDI instruments output numerical values that relate to which key you pressed on the keyboard, and how hard, or the position to which you turned a dial.
The main benefit of MIDI over recorded audio comes from the amount of disk space it uses. As the signal consists only of numerical values, it uses nominal space compared to high-quality audio files.
The MIDI interface stands as a legacy of early hardware synths--typically desktop or rack units requiring an external keyboard. The MIDI Manufacturers Association calls 5-pin connectors as an industry standard, though older ones may use the 15-pin joystick connector.
Many synthesizers and digital instruments include a built-in USB connection, but you may need a converter to translate the MIDI signal into one your computer can receive via its USB port.
You can buy MIDI instruments designed to emulate real world instruments, including keyboards, drum machines, and even guitars and turntables. Others mimic studio equipment such as mixers or the controls for tape decks.