It mellows out the G string just a touch and, to my ear, makes for smoother chords. This is especially apparent on Stratocasters with vintage stagger pole pieces. Using a wound G softens out some of that Strat spikiness. It's also worth considering that wound G strings were normal when the Strat, and other early electric guitars, were made. However, Fender kept the vintage stagger, even when the guitar-playing public transitioned to a plain G. However, strings are cheaper than pickups, so that is the easiest approach! Also, there is a more consistent timbre between notes on the D string and the same notes on the G string. I feel like the overall tone is better balanced.
Switching to a wound G was the single largest tone improvement I've experienced with my Strat. I liked it so much I made the change to the rest of my guitars, too (well, I haven't done it to the '74 SG, but I will at my next string change on that guitar). I like the effect on those guitars, too. I even have a wound G on my Jackson Dinky! But, the effect is most notable on Strats.
I buy my strings from Juststrings.com. I also buy about half a dozen D'Addario wound .017 strings at a time, so I can customize the sets of 9s on my other guitars.
One other thing, I feel like a wound G string stays in tune better. The core wire on a wound G is much thinner than a plain G. The core wire is more like the high E in thickness.
Keep in mind, if you use a wound G, you will need to re-intonate that saddle. In most cases, the G saddle will end up even with, or just slightly ahead of the D saddle. This is unlike the usual result when using a plain G string where the G saddle is set back behind the D saddle.