Most WordPress themes follow a fairly standard structure: there is a header with some type of navigation, a main content area where post contents are read, and one or more sidebars that display auxiliary information about the post being displayed or about the blog as a whole.
WordPress has quite a bit of functionality built in that supports the sidebar paradigm. Dynamic sidebars and widgets are included in many of the most popular themes. The power for end users to change the content displayed in the theme's sidebar without involving a programmer is one of the best developments in the history of the WordPress platform.
In addition to widgets provided by WordPress core and various plugins, sidebars can be created to display various data, including posts, comments, or links. Anything that isn't a main piece of content, but that you want to show to your site's visitors, is a great item to put in a sidebar.