If you live in the U.S., then odds are that your walls are insulated. However, if you live in an old home or if you just live outside the U.S., then your walls might not be insulated. If they're not, then that could be costing you a fortune on cooling and heating costs. Insulation helps to keep warm or cool air in and if it's not there, then it's not hard for air to escape.
Insulating your home usually requires that you tear away the drywall and install insulation behind it, but it can help save a lot of money in the long run.