A digital out pin can be set to be HIGH (5v) or LOW (0v). This allows you to turn things on and off.
Aside from turning things on and off (and making LEDs blink), this form of output is convenient for a number of applications.
Most notably, it allows you to communicate digitally. By turning the pin on and off rapidly, you are creating binary states (0 and 1), which is recognized by countless other electronic devices as a binary signal. By using this method, you can communicate using a number of different protocols.
Digital communication is an advanced topic, but to get a general idea of what can be done, check out the Interfacing With Hardware
If you followed the example in Step 6 for getting an LED to blink, you have already tried using a digital output pin.