Data structures are ways of organising data so that the operations a program needs are fast. Arrays, linked lists, stacks, queues, hash tables, trees, heaps and graphs each trade memory and simplicity for speed on particular operations.
Choosing well depends on complexity analysis. Looking up a key in a hash table takes constant time on average, a balanced binary search tree takes O(logn), and scanning a list takes O(n). For a million items that is the difference between a handful of steps and a million.
Every large application depends on these choices: databases use trees and hash indexes, browsers keep history on stacks, operating systems schedule work with queues and heaps, and maps and social networks are graphs. Data structures are also a core topic in technical interviews.