If the laptop comes with a built-in NIC and/or modem, you don't need a docking station to connect to the 'net. You can also connect using 802.11 (need a wireless card and network for this). Don't count on Bluetooth...it was supposed to be built into laptops in the near-future, but it's essentially dead tech now.
The docking station, depending on the model of laptop, provides several conveniences. For example, you may have only an internal modem on the laptop, while the docking station has a NIC. Or the station can have a static setup with a regular keyboard, mouse and monitor, so it can simulate a regular desktop PC when you're at your desk. If you have hot-swap drives with only one bay, you can leave the floppy drive in the laptop while the CD or DVD is in the docking station. The docking station would also provide non-battery power, and/or serve as a recharging station.
Another thing to note is that current VAIOs don't appear to support IR...a co-worker of mine can't find his port, anyway...if this is needed (such as for phones, PDA's, etc) you might consider a different brand.