I'm assuming you mean this little guy?! -
http://i.imgur.com/7xsvU.png
They're called strake(s) and are for added directional stability, especially at high altitude (increasing yaw damper inop altitude or eliminating the need for a yaw damper); helps prevent Dutch roll; improved single-engine performance; improved climb and cruise performance; less drag. Generally, most aircraft will have dual aft strakes - Raisbeck is well known to modify King Air and Learjet models with dual strakes. On the Learjet 45 I've been told that they also eliminate the need for a stick pusher as the strakes (Learjet calls them "Delta fins") will pitch the nose down if the angle of attack gets too high - it doesn't prevent the aircraft from stalling but it helps to avoid a stall.
A single strake wouldn't provide the same benefits as dual strakes but it'd be there for similar reasons.
I suggest watching this video:
Raisbeck Engineering: Dual Aft Body Strakes