I looked for a clear example from last year, to try to help you understand what I take from W/L. For an individual player/season, it's subtle, but it's definitely there. I found a nice pair:
Cole Hamels: 17-6, 3.05 ERA, 215 IP, 1.12 WHIP
Jordan Zimmerman: 12-8, 2.94 ERA, 195 IP, 1.17 WHIP
These are the most available, easy to find & read stats.
Now at this point, I say... these pitchers are really close in terms of effectiveness. I'd take the extra 20 IP from Cole, despite his ERA being a tenth of a run higher.
But now I'll look a little deeper into the stats. Adjusted for park, Zimmerman still has a lead, 134 ERA+ to 131. Also, Hamels gives up less hits & walks but more HR's, accounting for the difference in ERA. But why is their record so different? Probably run support, let me check it. (remembering at this point that it's a little harder to find - there's also a worthwhile shorthand in W/L that hasn't even been mentioned in the thread).
Cole Hamels 4.86 runs/game, Jordan Zimmerman 4.75 runs/game.
Hmm, the difference in run support is almost exactly the converse of the difference in their ERA's. So statistically they should have had pretty much the same record, but they didn't.
Now, you could conclude that it was just dumb luck. Or you could think about what we already know about baseball, that some pitchers know how to bear down when needed and when to pace themselves. Cole Hamels is a veteran in his prime with over 1000 IPs. Zimmerman coming into the season had less than 300. I contend that Cole Hamels was the superior pitcher in 2012, by a significant, if not massive, margin.
And I also contend that I could have at least guessed that from their W/L without doing all the work (although I would have been less certain than I am now).