As a researcher, you always want to "give credit where credit is due." This is called attribution. By acknowledging where information comes from, you show respect for the intellectual work of those who came before. An example of attribution is a citation.
Citations provide credibility to your work and build a firm foundation on which to put your new arguments and ideas. If scholarship is a chain of connected authors, then citations are the links that allow you to follow the conversation. Wikipedia is a great example of where writers use citations to give attribution. Each fact in the online encyclopedia must have a corresponding citation so others know where the information came from and can confirm the accuracy.
In the following example, Gardner and Barefoot's Your College Experience: Strategies for Success was cited according to MLA style:
To summarize, attributions and citations are important because:
They help others find the information that you used.
They help establish the credibility of your own research.
They connect your work to the work of other scholars.
It is one way that scholars enter into a dialogue with each other.