Sometimes your users and frustrated but they don't know how to express it or they're too polite to do so. Their expression might show that they found that form annoying, even if they tell you it's great! In addition the "major" facial expressions have been found to be largely innate and not bound to cultures, in fact many animals display similar facial expressions to humans for anger, fear and joy.
Facial expressions aren't the only way to read emotions either of course, and you hope if something frustrates or delights your users they'll tell you, right? Unfortunately Demand Characteristics may influence what your participants actually tell you or write in a survey, so emotions give you a quick look into their emotions. Facial expressions tell you what the participant won't.
To offer an opposing point, here's an excellent Smashing Magazine article on Behavioral Response Metrics which can give you a less subjective method of judging emotional reactions. Note they have a great deal of strategies but all are a bit more complex than just watching your users to catch a grimace or a smile, though if you wish to observe more than a few participants facial expression recognition quickly becomes a taxing operation.
How should you document this? Simply; note when a "significant" facial expression was made and at what part of the interaction it occurred. If your user smiled when they saw your nice intro page, mark that down. If you know why your user probably an expression write that down too; if the user grimaced because their action did not complete properly they probably weren't angry at the specific action, but at the fact that it "broke".
Only note changes in emotion, if your happy go lucky participant suddenly winces, something probably went wrong. If your participant was sad throughout the entirety of the session, their sadness was probably out of your control.
As interesting further reading, here's a great article on the role of Emotions in Human Computer Interaction.