If you are burning a playlist to CD but don't want it all, unchecked songs will be skipped and not be burned.
If you are playing songs from a playlist or the library unchecked songs will be be skipped unless you click on them individually.
There are a few more things around syncing to an iPod but that's all I remember at the moment, this page explains the iTunes interface and controls:
http://www.apple.com/support/ipod101/tunes/1/