You learn about the bigger issues of life outside of your department: e.g. justice/torture/etc, environmental issues, financial crisis, etc. As well as statistical techniques, how to write reports, how to present, etc (you won't learn all these skills in each course at LSE, e.g. I've never had to do a presentation and I'm sure many courses have no statistics in them). The classes for the course are mixed with every department - typically, law students only have classes with law students, but this way they can meet mathematicians/geographists/etc.
It is also lectured by some of the biggest names at LSE, who typically you'll never meet as an undergrad, e.g. Sir Nicholas Stern who wrote the extremely influential Stern report on climate change, Sir Howard Davies who's Director at LSE and famous for many reasons, Prof. Danny Quah who's one of the stars in the Economics department, etc.
In principle, it's a good course.