A site map (or sitemap) is a list of pages of a web site accessible to crawlers or users. It can be either a document in any form used as a planning tool for web design, or a web page that lists the pages on a web site, typically organized in hierarchical fashion. This helps visitors and search engine bots find pages on the site.
You can also submit the sitemap to search engines, including Google, whenever you change a web page, which may cause the search engines to re-spider your site sooner than they would have otherwise.
I use XML sitemaps for my sites and am firmly of the opinion that they work. If you use WordPress there are plugins that automate the whole process of preparing, updating and submitting them.
In Google's Webmaster Tools, it recommends that your site has a site map. Therefore, for best SEO practices you definitely want to have one on every site.
For more details on what they want on the sitemap, check out their Webmaster Tools section.