What does this do/do I need it?

[AmadeusCharger500]

I don't really remember where this goes.

[histoy]

It looks like the condenser that is attached to the positive coil terminal to prevent radio interference.  The large end attaches to the coil bracket mounting bolt.

[gtx6970]

I don't really remember where this goes.

Radio - ignition noise suppressor . Mounts beside the coil and connects to the positive side of the coil ,,,, at least I think it's the positive side anyway

[bordin34]

Is it really neccesary and will I see an improvement in anything if I keep one on my car?

[Ghoste]

It's only function is as mentioned, a noise suppressor for the radio so the only improvemnt you would see would be there.  It won't affect the performance of the car it just keeps your radio from operating as an audible tach and that seems to be less of of an issue than it was with the old points distributors.

[aifilaw]

Unless I miss my guess, this is a noise supressor added fto reduce the wine that changes based on RPM from the alternator.
The old radio's were very succeptable to the poor power from the 12V system in the vehicle, and what this is is a simple resistor and capacitor to form a lowpass filter that attenuates or drowns out everything greater than 5Hz (since you should be getting DC anyways).
If you are running the stock radio, it will help eliminate a humming sound that increases and decreases with RPM... if your not, then its worthless.