Shipping Profiles are groups of products, zones & rates. By default, new products are put in the 'General profile'.
Setting up multiple shipping profiles allows you to create different shipping rates for items that have special requirements. For example you could create a different shipping profile:
for products that ship free
if some of your products are particularly heavy
if some of your products are fragile
for items that require a different form of transport (ie local courier)
To find out more about Shipping Profiles jump over to the Shopify Help Centre, they have a very handy article about Shipping Profiles.