The purpose of an SPF record is to prevent spammers from sending messages with forged From addresses at your domain. Recipients can refer to the SPF record to determine whether a message purporting to be from your domain comes from an authorized mail server.
For example, suppose that your domain example.com uses Gmail. You create an SPF record that identifies the Google Apps mail servers as the authorized mail servers for your domain. When a recipient's mail server receives a message from firstname.lastname@example.org, it can check the SPF record for example.com to determine whether it is a valid message. If the message comes from a server other than the Google Apps mail servers listed in the SPF record, the recipient's mail server can reject it as spam.
If your domain does not have an SPF record, some recipient domains may reject messages from your users because they cannot validate that the messages come from an authorized mail server.