From
http://code.google.com/speed/page-s...ching.html "Most web pages include resources that change infrequently, such as CSS files, image files, JavaScript files, and so on. These resources take time to download over the network, which increases the time it takes to load a web page. HTTP caching allows these resources to be saved, or cached, by a browser or proxy. Once a resource is cached, a browser or proxy can refer to the locally cached copy instead of having to download it again on subsequent visits to the web page. Thus caching is a double win: you reduce round-trip time by eliminating numerous HTTP requests for the required resources, and you substantially reduce the total payload size of the responses. Besides leading to a dramatic reduction in page load time for subsequent user visits, enabling caching can also significantly reduce the bandwidth and hosting costs for your site."
In other words, by setting expiration times on various items, they won't be requested and/or reloaded on every page request. If you have lots of infrequently changed images, for example, that can help a lot.