Incenses are held items introduced in Generation III. If held by a specific Pokémon and bred with a compatible Pokémon, the Pokémon will produce an egg, holding a baby Pokémon introduced within Generation III or so. In addition, Pokémon will also receive an extra effect during a battle.
The Full Incense, when held, will make the Pokémon move last, even if Trick Room is in effect. If held by Snorlax and bred with a compatible parent, they will produce the Normal-type Pokémon Munchlax.