To appreciate the importance of setting the correct white balance on your camera you first of all need to understand fully that light can have different colours, usually refered to as "colour temperature". Photographically colour temperature is measured in degrees Kelvin. I scouted about on the net but an awful lot of the sites give such highly technical explanations you'd need to be a scientist to fully grasp their meanings!
Our eyes adjust no matter what the lighting conditions are, sunlight, shade, tungsten or flurescent, however a camera sees what is literally there and records all the differences in colour. This is why it is important to set the camera to an appropriate colour balance.
Noon sunlight is generally 5500 Kelvin, late afternoon is around 4000 and possibly at around 3000k at sunset. Sunlight gives a red cast whilst in the shade you will get a blue cast. Tungsten is notorious for giving a very yellow/orange result while flurescent can be blue/green. These websites explain some areas of white balance and the settings that can be found in camera to deal with different lighting conditions.