Let's say you're going to create a document that'll have loads of links, but the files you want to use are located in lots of different places on your computer. You can't just link to them where they are, because if you deleted/moved/renamed any of them in future, then your InDesign file will no longer link to them. So they all need to be copied and put into one folder specifically for your InDesign file.
Rather than collecting them all into a 'links' folder manually before you even start working in InDesign, you can just get InDesign to do it for you. Open a new document, set up links to all the images you want included and then save your file. At this point your links will be going to places all over your hard disk (not good), so now you'll copy them all into one place.
To do so, go to File > Package... and you'll usually be able to just hit 'ok' on the window that appears. This is going to create a folder for you that contains your InDesign file, plus a subfolder for links and a subfolder for fonts. A window will appear where you can specify where to save it and what exactly you're saving (fonts, images etc). The default settings are fine. Hit 'save' and you'll find a tidy folder with your InDesign file and all your links copied into one place. Nifty, right? You can delete your original InDesign file at this point.
Another use for this is simply getting rid of unwanted stuff. Let's say you did set up a 'links' folder before you started your job, and you put 20 images in it. You might be doing an 8 page doc with those 20 images, and imagine you've replaced every image 3 times with new artwork/amendments. You'll have a links folder of 60 items for a file that only uses 20 of them. Use the package function and re-save everything into a folder on your desktop – it'll save only the links you've used, and ditch everything else, keeping your memory use minimal and your housekeeping skills maximal ; )