The fact that Calpurnia felt comfortable taking Scout and Jem to her church in the absence of their father is testament to Calpurnia's confidence about her valued place in the Finch family; she functions very nearly as a sort of surrogate mother, and Atticus tells his overbearing sister Alexandra at one point that Cal is "part of this family". Secondly, Scout notices that while at the First Purchase church, Calpurnia's normally polished vocabulary and conversational style reverts to the slang and vernacular of the mostly uneducated blacks in the community. When Scout mentions this to Cal later, Cal replies that it's not always necessary for a person to show or tell everything he or she knows, that it aggravates people when someone appears to be showing off or trying in some way to be superior to others.
I'm not sure that Scout values the First Purchase African Methodist Episcopal Church all that much, but it is important to her for two reasons: First, it is Calpurnia's church (and probably the only African-American church in Maycomb). Secondly, she enjoyed the visit that she made with Jem and Cal, getting a first-hand experience of a Sunday in a black church. Having met Reverend Sykes there, the children are later invited to sit with him in the balcony during the Tom Robinson trial. It is important to the novel for this very reason. It is probably the center of social life for Maycomb's black citizens, and Tom and his family also are members of First Purchase.