It's important to keep knives sharp to stay safe when cooking. It's not something you'll have to do often -- professional chefs sharpen their knives maybe once or twice a year -- but dull knives are a safety hazard and can be very dangerous.
The more blunt a knife's edge is, the more pressure it takes to cut something. The more pressure your hand and the knife apply to a piece of food, the more likely you are to slip and cut your finger instead. Sharpened knives also reduce the time it takes to prepare your meals, since your cuts will be faster and more accurate.
To sharpen a knife, use a sharpening stone, also known as a whetstone. If you don't feel comfortable performing what could be a dangerous task, most knife manufacturing companies let you send your knifes in for professional sharpening, and many cooking supply stores also offer sharpening services.