You can use dashes to add an aside or a comment on the material in the main part of a sentence. Put the aside after one dash at the end of the sentence or between a pair of dashes in the middle of the sentence. Dashes add emphasis to what comes after or between them.
Try to use no more than two dashes in any sentence. A sentence littered with dashes can leave readers struggling to keep straight which phrases you intended to be the main part of the sentence and which you intended as detours.
Other targets of major FBI investigations over the years have included the Ku Klux Klan, Nazi agents — during World War II — Communist agents — during the Cold War — and, outrageously, Dr. Martin Luther King Jr.
These two pairs of dashes are confusing. The material between them is not crucially important, so two pairs of parentheses would work better.