The Arnold Press is an amazing shoulder workout. You may be asking what advantage does it have over the standard overhead shoulder press. I'm glad you asked.
The standard overhead press primarily targets the middle portion of the delt with some focus on the rear delts as well.
Your deltoid muscle has three portions. The front, middle and rear.
The Arnold press is so advantageous because it works all three portions. The Arnold press is able to hit the anterior (front) portion of the deltoid because your elbows are dropped out in front of you at the beginning of the movement.
The key to this movement is to go slow and control the movement without. Don't try to rush through this one. If you need to drop the amount of weight you are using then do so in order to get your form right.