A meteor (commonly known as a 'shooting star') is the luminous phenomenon resulting from the interaction of a meteoroid with the Earth's atmosphere. The meteoroids can be detected and examined visually, but also by radio observations.
This is why scientist can learn from them:
We can directly study the atmospheric layer at 90-100 kilometer altitude, called the ionosphere, by observing radio meteors. This altitude is too high for airplanes (that fly at 10-12 kilometer altitude) or weather balloons (maximum a few tens of kilometers altitude), and too low for satellites. It can only be sampled in-situ using expensive rockets while meteors continuously sample this region for us.
Sporadic meteors are often there since the origin of the solar system. As such, they can teach us about the formation of the solar system.
Comets form a long tail when they come close to the Sun. If this tail crosses the Earth’s orbit, we see each year at the same period shower meteors. We can study comets by studying the shower meteors.
On Earth, we are well protected against meteoroid impacts by the atmosphere. In space, we lack this protection. In low-earth orbit, (man-made) orbital debris is much more abundant than meteoroids, but for interplanetary space travel meteoroids play a more important role. Moreover, the speed of meteoroids is often much higher than the (relative) speed of orbital debris, and so is a source of potential damage to spacecraft.