In some dungeons you can actually pull them off the wall. Makes for a source of torches as well as a way for stealth players to create shadows.
This. This came as a surprise to me, I just sort of discovered it when I was near a torch sconce, and my mouse cursor indicated I could activate it. In previous Elder Scrolls games, IIRC, you couldn't actually take any of the torches in sconces, so I can easily see that someone might have no idea this is possible.