I can't do any better than to point you to Ian McAllister's answer to this question on Quora (Ian works for Amazon.com, and was previously in charge of the Wish List and registry features). In part, he says:
There are a number of different use cases for Wish List. Some will drive incremental sales, and some may or may not.
Same-session holding area - Customers will use wish list as a place to temporarily hold items during a shopping session. Customers use their shopping cart for this also. Once you add a wish list to a site you will see a decrease in cart adds and an increase in wish list adds, but this use case alone isn't likely to lead to a significant increase in overall sales, just a shift in path.
Multi-session holding area - Customers may hold items in a wish list across sessions. Making the small investment of adding an item to a wish list on your site increases the likelihood that they'll return to your site because it is easier to find the item again than to start their search fresh on Google or elsewhere. It will also increase the likelihood they'll buy the item when they return to your site, even if they returned for another reason. This use case is more incremental than the previous one.
Gifting - If a customer makes their wish list public then there is the potential for gifting, which is highly incremental. Family and friends are unlikely to just stumble on to a Wish List if your site is small, so getting customers to explicitly share them is important.
Sharing - Customers may share their wish list with family and friends who will buy gifts off of it, but sharing creates incremental traffic and sales outside of gifting. Friends who receive a link to a wish list via email or on a social network may discover your site and specific products as a result, and then go on to buy them and become new customers. This use case is also highly incremental.
I recommend checking out his entire answer; it's always nice to hear about this sort of thing from a respected source.
From my personal experience, I only use a wish list on sites that carry a variety of products, and from which I am likely to make multiple purchases. My Amazon Wish List serves as my de facto internet-wide wishlist -- that is, any time I want a movie, book, CD, or any other consumable, I put it on my Amazon wishlist... even if I don't intend to buy it from Amazon. Another site that I use frequently which I wish had a wishlist is Threadless.com... I often find t-shirts I'd like to buy sometime, but not right now.
Basically, it boils down to the notion that you should not do wishlists on e-commerce sites that are mostly transactional (come to the site, buy something, and leave); but rather, you should have it on e-commerce sites that are relational. Amazon, Threadless, and many other e-tailers work hard to build a relationship with their customers, and the wishlist concept is just one part of that relationship.
P.S. If you're reserving product that a user adds to their wishlist, you're doing wrong. Product in a shopping cart should be reserved for some period, but the wishlist is merely a list. There is no expectation on the part of the user that an item will be held for them.