Host Headers are sent in the HTTP GET request to instruct the webserver to send content back for a specific website.  This is necessary for webservers that host multiple websites (think shared hosting), so the hosting server can match the content to the Host Header and serve up what website.

Here's a video demonstrating multiple sites on a single IIS server and setting the associated Host Headers so the server knows which site to serve:

If you have questions about HTTP Host Headers, please let me know in the comments below!