Units turn into transports when you order them into water. How good of a transport they turn into, depends on the level in which you researched them.

When you attempt to cross any body of water shown on the map with ground or air units, the unit (or combined stack of units) will automatically convert into an ocean-going convoy in order to cross the water body. To show that the individual unit or stack has become a convoy, its unit icon will switch from whatever ground or air unit was shown and display as a transport ship icon until it is fully disembarked at the coastal province of its destination.

The real benefit of Transport research is not that you get to build transport ships (you do not), but the speed at which ocean-going convoys move. An L4 transport is roughly twice as fast as an L1 transport, which can be fairly important when you're playing on the big 50- or 100-player maps, or you are playing a North American country on either the 10- or 22-player maps (or a European or African country planning to invade North America).