It is an additional connection for 12 V, which is used for powering the CPU. If you don't connect it, then your CPU will not receive any power, leading to sub-optimal performance.
The idea is to make the motherboard design simpler and more reliable, when working with extremely power-hungry and hot chips.
Intel recommended this change to manufacturers of pentium 4 motherboards, because of the massive demands of the CPU. AMD have not made any recommendations, instead they have just advised the motherboard manufacturers of the minimum performance required. As a result most AMD motherboards, have used only the conventional connector.
However, as AMD chips become more power-hungry, some manufacturers are starting to include this connector because of its benefits.