Your carrier (T-Mobile, Verizon, etc) will add it to your plan for a monthly fee, typically around $30 US. It's this BlackBerry data plan that allows you to use all the data features of the BlackBerry like email, web browsing, BB Messenger, etc. Stuff like Facebook also uses this.
Without it you basically get talk and text only. Just make sure you get a BlackBerry data plan and not some generic smartphone data plan.