CVs and such tell what your experience and skillset are (the "what"). Cover letters tell why you're interested in this particular position (the "why").
"Why" is important. On the surface, sure, we all get jobs because we need the income. But why are you applying to that particular company over others?
It's important information because if you have two candidates that are otherwise equal, and one applied to the position just because it's a job they qualify for but the other applied to the position because they're excited by the work or company, you'll go with the second one every time. Everyone will be happier for it.
