What Is a Cover Letter?
A cover letter is a letter of introduction where you present yourself to your prospective employer.  It gives a personal touch to your application.  Your cover letter is meant to complement your resume; the two should be looked at as a pair.

What Is the Purpose of a Cover Letter?
The purpose of a cover letter is to introduce yourself and provide whatever information is not provided in your resume (e.g. why you are interested in the position) in order to differentiate yourself from other applicants, grab the attention of your prospective employer, and allow him or her to make an informed decision about who to invite for an interview.  Your cover letter gives you the flexibility that your resume does not have. 

The more immediate purpose of a cover letter is to gain an attentive audience for the resume.  Look at it this way: the main purpose of a resume is to show that you can do the work whereas the main purpose of a cover letter is to express that you want to do the work.