The hanyu pinyin system (or pinyin) is the standard spelling system for Chinese (Mandarin) in China, published officially by the Chinese Government in 1958. It represents the sound part of Chinese. It is also the standard used by the US Government and the United Nations.
Pinyin is not only essential for learning Chinese, but also important for the Chinese romanization. For example, my first name, Jun, is from pinyin. In addition, pinyin is also one of the most used methods to input Chinese characters into computers.
Chinese is a tone language. There are four tones for Chinese. See the following for the signs of the four tones on 'e'.
For simplicity, we use numbers to indicate the tones on this site, i.e., 1 for the first tone, 2 for the second, 3 for the third and 4 for the fourth. Click here for example. Occasionally you may see there is no sign for the tone of a pinyin, which indicates you should speak it softly.
The relation between pinyin and Chinese characters is not one to one, but one to many. One pinyin usually represents at least a few different Chinese characters so it is hard to guess the Chinese character just from one pinyin. This is one of the reasons that pinyin is not going to replace Chinese characters.
In one word, to learn Chinese, pinyin is the first step.