I'm not an expert on it, don't have SLI, but I'll give it a go;
In a nutshell:
SLI-board has multiple slots for graphics cards, preferably all PCI-E 16x. The cards are connected by a bridge that connects the cards at the top. Now the cards can work together to render the frames before they are sent on, dividing the workload. Average gain is about 30%. The biggest benefit AFAIK is the increase in available bandwith. More bandwith means more data can be sent at once. Anti-Aliasing and high resolutions require a lot of bandwith. Especially modern games like Crysis require a lot of bandwith to run smooth on (really) high settings.
In short; if you want to run everything at 1600x1200 with
all possible settings maxed, SLI is something to consider.
Something to read;
http://en.wikipedia.org/wiki/Scalable_Link_Interface
Personally, I'd prefer a single card with 2 GPU's (effectively the same as running 2 cards), like Geforce 9800x2 or Radeon 3850x2 / 3870x2. Bandwith of the bus (basically the slot you put the card into) might be an issue in this case, don't know for sure. Guess that's why they came up with PCIE 2.0
As with most things, SLI has benefits and drawbacks. Best advice I can give you is; do some research (that link is a good start), determine what you want to accomplish and decide if you need SLI or not. Ohh, and if you have quesstions just ask, offcourse.