The gauge on the pattern tells you how the designer came up with the sizes given. If you knit at a different tension than the person who made the pattern, then your's won't be the same size as the pattern calls for.
Let's say, for example, the gauge of the pattern is 4 st per inch and you are a tight knitter and knit 5 stitches per inch. If you're knitting across 100 stitches, the pattern will expect you to have 25 inches, but at your personal gauge you will have 20 inches. It can make a significant difference in things where the size is important.
If you find your knitting doesn't meet the gauge of a pattern, you can change needle size to get closer to it.