This is a security feature to help protect your application against cross-site request forgery.
Example:
Let’s assume you have a register functionality in your web app. You have an AccountController (example.com/account/register) where you expect people to submit their info. Normally before someone posts the registration information needs to visit the actual (example.com/account/register) than submit the form.
Let say I am a bad guy and I want to flood your server with junk info all I need to do is just keep posting directly to (example.com/account/register) without visiting your site. So in order to stop me you implement AntiForgeryToken so you can make it sure I visited the page before I submitted the registration information.
Another example is http://www.binaryintellect.net/articles/20e546b4-3ae9-416b-878e-5b12434fe7a6.aspx.