Ehi guys, I don't understand what I get from killing dragons, apart from the bones.

What do they give me? In game it is said , I get their knowledge, but I fail to understand which knowledge they are referring to.

You absorbed their souls, souls can unlock the knowledge to any shouts you may have.

You get souls which allows you to unlock more Words of Power.

Yes the souls absorbed are used to unlock the words that you find on word walls. The bones and scales can of course be smithed into pretty good armour and weapons.