Those breeding Pokémon competitively can probably understand the importance of a Nature. The general Pokémon player can often assume this to be some kind of individualistic aspect of Pokémon to make them somewhat different from one another - and, in that, they're right, but probably not in the way they expect.
Natures actually have a HUGE effect on Pokémon stats, causing increments of up to 10% either way. At Level 100 and maxed EVs/IVs, that could be a difference of 46 points in Attack/Special Attack on an Attack Forme Deoxys. That's huge, and can be the very edge on which balances a whole battle.
In any case, people tend to only care about Nature for post-game breeding aspects, since the main storyline is easily cleared without dedicated focus to such. If you wish to learn more about how to breed specific Natures - among other things - see the Pokémon Breeding section for more.
Nature is impossible to change on a Pokémon; once had, always had, so the only way to get a more favorable Nature is through breeding.
In any case, if you want to know the effects of each Nature, here you go. There are 20 Natures in all - 16 of them add 10% to one stat and subtract 10% from another, and four different ones all result in equal growth (Nature-wise, anyhow) across all stats.
|Careful||Special Attack||Special Defence|
|Rash||Special Attack||Special Defence|