Nintendo has been rather cagey about revealing exactly what these figures unlock in the game, but GameXplain has decided to spoil everyone's fun by revealing everything. As ever, if you want to keep things a secret for launch day, you should consider this a spoiler warning.
OK, if you're still here, then we assume you're not bothered having the surprise ruined, so we'll continue.
The Guardian amiibo unlocks rare weapons and items to help you on your adventure, which include a special arrow and some other objects which could potentially be used for crafting. The Bokoblin amiibo also unlocks rare weapons - a few special clubs, to be precise. Horse Rider Link gives you a special sword and saddle, while the Zelda amiibo rewards with you a fancy Hylian shield. Finally, the Link with a bow amiibo gives you a (you've guessed it) special bow.
All of these items can be obtained in the game without using amiibo - these figures simply give you early (and easy) access to them. You can also use your existing Zelda amiibo figures to unlock other (less exciting) items.