They are generally "loss leaders" in the hope that by giving away a small free component you then buy a full featured one from them. Bit like companies who give away free products (drink, crisps etc) in your local town square hoping you then buy it in the future).
Also by having a free version you gets LOADS of free avertising from ordinairy people who promote the free versions on forums like these (how many time have you seen people say "I use AVG" or whatever, which is good advertising).
Finally, by having the free version on your PC you are giving them the chance to "pop up" a window now and again asking if you would like the paid for version.
One extra benefit of having a free version is that if a person has YOUR free version on their computer they dont have one of the competitors versions, giving you more market share.