Its used to measure conversions usually. Lets say you're selling bicycles and you have a bicycle website. At the end of the bicycle purchasing process you'll have a thank you page. You'll place your pixel on this page. If the pixel, is for example, your pixel from Google Adwords, you will see 1 conversion in your bicycle PPC campaign each time a person clicks on one of your ads on Google (or Google's partner sites), then goes to your website, then purchases a bicycle and sees the thank you page that has your pixel. You can use this information to see where the conversion came from and more details about the conversion in question.
If that isn't clear enough, let me know.