Okay basicly it's the bit of code in you phone that tells it to load the operating system when the phone is booting up. If you want to use a dumb metaphor: Pushing the power button is like an alarm clock ringing in the morning. It wakes you up but it doesn't get you up and moving on its own. For me at least its normally the list of things I need to do before work that gets me awake. Its kind of the same with the bootloader. After you press the power button, its the bit of code that helps the hardware on your phone/computer/whatever load its operating system and get moving.
If your a normal user you dont need to deal with it. Its only improtant for loading custom roms/ android distributions on phones that werent designed to support them.
The companys often keen the bootloaders locked because well even though Android is open source, that doesn't mean they want you to throw away the OS they spent so much time working on. IF you have more questions about rooting give this forum a try.