Configuring cron is an extremely important task in your Drupal website setup. Search module's indexing of your website's content, aggregator module's retrieval of feeds, ping module's notification of other sites of updates, and system module's routine maintenance tasks, such as pruning of logs, all depend a properly configured cron job.
Many Drupal modules have tasks that have to take place from time to time. Think of cron as the tolling of a bell, letting Drupal know that it should perform the appropriate tasks.
The actual "cron job" is a time-triggered action that is usually (and most efficiently) performed by your website's hosting server, but can also be configured by a remote service or even from your own desktop.
For your Drupal site, what actually happens is that the cron job triggers an invisible visit to the site's cron.php file (http://www.example.com/cron.php) which, in turn, executes tasks on behalf of installed modules.