Unlike their Holder cousins, most Sobolev spaces are *reflexive* Banach spaces. Reflexivity is highly desirable feature  for    variational problems because it gives a litle bit of compactness enough so you can prove  the existence of  minimizers (or more general critical points) of various energy   functionals.   Such critical points  satisfy the Euler-Lagrange equations   and thus you obtain existence  of (weak) solutions  of many important equations in geometry or physics.  Given that their norms have an integral description, the Sobolev spaces are tailor made for energy functionals    described by integrals. The  famous and for a while controversial  Dirichlet  principle states that any function $u$ defined on a comapct smooth domain $\newcommand{\bR}{\mathbb{R}}$ $\omega\subset \bR^N$ which  is zero on the boundary of $\Omega$ and minimizes  the energy functional

$$E(u)=\int_\Omega\left(\frac{1}{2}|\nabla u(x)|^2 -f(x) u(x)\right) dx $$

must  be a solution of the Poisson problem $\Delta u=f$ in $\Omega$ satisfying the boundary conditions $u=0$ on $\partial \Omega$.

Weierstrass pointed out a major flaw in the classical understanding of this principle by constructing, in a special case,   a minimizer  of this energy functional  which is not twice differentiable so the Laplacian does not make sense.

That stopped  things in their tracks for a while until Hilbert, in his famous 1900 Paris  Conference talk  included this in the list of his famous 27 problems. In particular, he hinted to a way out by stating that any variational problem has a solution provided that, if need be, we suitably define the concept of solution.

You can read more about this and see many applications of Sobolev spaces to geometry in [these lectures][1]. 
 


  [1]: http://www3.nd.edu/~lnicolae/Lectures.pdf