Metal surfaces rub against each other when your car's engine is running causing friction which generates heat. Your engine oil cools down these metal surfaces and lubricates the moving parts to minimise wear.
Over a period of time, your engine oil gradually loses the ability to lubricate and protect your engine components meaning that they will wear much faster. To prevent this, most car manufacturers recommend replacing your oil every 6,000 miles. An oil change is particularly important if you have long intervals between each service or your mileage is very high or low.