What are 'templates'?
Each bit of content you add needs to be viewed eventually. These views - or urls - are defined by your data and structured according to the skin's templates.
Each template does something different
A post section might ship with 2 different post templates, one called 'posts' which renders a blog or news section, and one called 'newsletters' which renders a newsletter.
On the other hand, pages usually ship with even more templates: a 'splash' template for rendering something out of the ordinary, a 'contact form' template for rendering a contact page easily and a regular 'page' template to take care of the rest. Pages adopt templates from their parents but this can be over-ridden easily.
Templates are the building blocks of skins, and each skin might ship with different templates although there are always certain commonalities.