The docking station comes w/ a rechargable battery that allow you recharge your player w/o messing w/ additional cables. In addition, the docking station connects you to your computer, again w/o additional cables. Both functions can be completed w/o the docking station, but it makes transfering music and recharging your player less of a hassle.
FYI, I've seen docking stations sell at eBay for $80. They used to sell for $40 retail, but when Creative stopped making them, the prices have sky rocketed.