(Apologies for talking of D&D derivatives in this otherwise crafty node...)
In Nethack, athames used to be the starting weapon of Wizards. Before, there were patches that give wizards a more traditional fantasy look, using a quarterstaff instead - and in new versions, Wizards do start with a blessed +1 quarterstaff.
For weapon skill purposes, Athames are considered Daggers. As with all daggers, Rangers, Rogues, Tourists, Valkyries and (naturally) Wizards have chance of achieving the Expert mastery.
It is not a weapon meant for bloodbaths! Hit bonus +2, Damage d4 (small monsters) / d3 (large monsters). Average damage 2.5 against small monsters, 2 against large ones. So, I really don't suggest you run into a city full of hostile nasties with this weapon, even when you're absolutely positive. No wonder famous wizards trusted swords more =) The game has a lot worse weapons, though.
Justification for existence? Well, you can do Magic Stuff with it better than with other weapons!
An uncursed/blessed athame doesn't get dull when you do magic stuff, so you can #engrave words on floor with it, fast (one turn), without being concerned of its sharpness (it's the only weapon that won't get dull when you #engrave). When faced with a horde of disgusting little thingies, nothing makes them run away faster than seeing A Fearsome Name scrawled all across the floor!
There's one artifact athame, the Magicbane.
(Source: Kevin Hugo's & Dylan O'Donnell's spoilers)
Thanks to jmn32 for updates