I tend to use vanilla beans most frequently in liquid mixtures, like creme anglaise or custard-based ice creams. But I also sometimes add vanilla bean scrapings to shortbread cookie dough, or when browning butter if a recipe calls for browned butter, or even to butter used for sauteeing pears or apples. And don't throw the pods - stick them in a jar of sugar for your own vanilla-scented sugar. Even if you steep the pods in a liquid, you can wash, dry and add them to the jar of sugar.
If all of this seems too tedious and you prefer the ease of using vanilla extract, you can make your own using the beans.
http://chocolateandzucchini.com/archives/2009/02/homemade_vanilla_extract.php