HTTP stands for Hyper-Text Transfer Protocol. It is one of several "protocols" of transmitting data over the internet (HTTP, FTP, SMTP, and some others).
The HTTP indicates that the content of the transfer is marked-up text, i.e. hypertext or HTML (which stands for hyper text mark-up language). FTP, on the other hand, stands for file transfer protocol and indicates that the information is a file that should be downloaded and stored on the user's computer.
For the end user, it doesn't make much difference. Browsers are designed to add the http to URLs automatically. However, computer servers are set up with different software (daemons) to handle different protocols. If you were writing your own web browser or networked software, you would need to indicate the type of protocol you were trying to use or your software might not work right.