It is your iPhone/iPad/iPod Touch data. If you are good not having a backup so you can quickly recover all your saved information should your iOS device die.
For example, you get thrown in a swimming pool, it falls in the toilet (really does happen to a lot of people), falls out of a pocket on to a hard surface and breaks, the kids get a hold of it and do who knows what, etc...
Having an iTunes backups makes restoring easy and quick, including all saved information, such as your game levels, calendar events, saved emails, app settings, etc...