Sometimes, sketching may describe using basic geometric shapes to create a base for your character, but other times it may describe a quick figure or character before it is inked or finalized.
Using Google Images, I have an example of the "shape" sketches.

To the left is a pictures scavenged off the HowStuffWorks site. It shows the artist(s) using basic shapes of circles and curves to start and define a more complex image.
However, there is also another term for sketching which describes a quick drawing of a subject. Here is an example of a sketch drawn by your's truly:


As you can see, it is an extremely rough layout, there are problems with positioning and proportions, but it is still recognizable as a character fighting another.
Using these two examples, it can be seen that sketching can have two different meanings and looks.
Now you are asking, "Why is this important?"
Sketching is crucial to artists, because it gives us a window into the future, a look at what the final product may look like. It also lets us change any nagging details that may become larger once we get underway with the rest of the picture. This powerful ability is what lets you pre-plan and separate a so-so picture to an EPIC picture.
Hopefully this clarified it a tiny bit, and gives you more reason to go forth and sketch...
Cheers,
-Wesley J.

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