Sure, it’s a good question.
Relays are ultimately where content on nostr resides. So following relays is like following people. Except you’ll get a lot more content. Some clients are even setup for this; where the notes you see are oriented around the relays you follow.
It can get more complicated too… in that you can set a relay as being a read source, write source, or both. This controls where your published notes get stored. Then when someone follows you a compatible client will look at your write relays in order to find your notes. As otherwise it’s easy to miss out on notes if you are connected to the ‘wrong’ relays.
But tldr - exploring relays helps you find new content, and new people in this disparate network.