All audio "power" amplifiers (the ones that actually drive your speakers) need a pre-amp to boost the very low voltage "line level" signal from your sources (like tuners and CD players) to a level where it is usable by the power amplifier. The preamp includes the volume controls, balance and tone controls, etc. Exactly why this is necessary is beyond me even though I've read "simple" explanations; ask an electrical engineer!
The preamp out jacks on the back of a receiver allow you to bypass the receiver's built in amp if you wish to use a more powerful amplifier, while retaining the control and processing functions of the receiver's preamp, tuner, and digital processors.
Some audiophiles prefer separate preamps and power amps - this tends to be more expensive. In the Olden Days there was a case to be made for the inherent electrical and sonic superiority of this arrangement but no longer, IMO. Flexibility, the ability to use monstrously powerful amplifiers beyond what is available in even "flagship" receivers, or do use biamped speakers with active crossovers and, frankly, a bit of snob appeal are the main advantages nowadays (again, IMO).
So it comes down to: do ya want 'em in one box, or in separate boxes?
EDIT: Holy cow - three of us answered almost simultaneously!