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They are used as an energy source, are essential to maintain cellular health and provide important nourishment to the nervous system. Fats also slow down the release of sugars into the blood stream and increase the feeling of sateity which is very important when it comes to fat loss.
One important thing to note is the amount of calories they contain in comparison to carbohydrate or protein. Fats contain 9kcals per gram whereas both protein and carbohydrates carry 4kcal per gram. This is not a reason to avoid fats, but you need to be aware of your overall calorie intake when weight loss is the goal. Over-eating on fats is the easiest way to consume too many calories.