The user module allows users to register, log in, and log out. Users benefit from being able to sign on because this associates content they create with their account and allows various permissions to be set for their roles.
The user module supports user roles, which can be set up with fine-grained permissions allowing each role to do only what the administrator permits. Each user is assigned one or more roles. By default there are three roles: anonymous (a user who has not logged in) and authenticated (a user who has signed up and been authorized), and in Drupal 7 only, administrator (a signed in user who will be assigned site administrator permissions).
Users can use their own name or handle and can fine tune some personal configuration settings through their individual my account page. Registered users need to authenticate by supplying their username and password, or alternately an OpenID login. (In Drupal 5, users are able to log in with either a local username and password, or a remote username and password, such as a DelphiForums ID or an ID from another Drupal-powered website, more info here.)
A visitor accessing your website is assigned a unique ID, the so-called session ID, which is stored in a cookie. For security's sake, the cookie does not contain personal information but acts as a key to retrieving the information stored on your server.