Your coordination and ability to make precise movements. Dexterity determines your ability to hit with Ranged weapons and with Light Melee weapons. It also affects your armor class and your ability to resist some spells through sheer reflexes.
Dexterity is important for most characters as it has a substantial affect on Armor Class, which determines how difficult a character is to hit. However, this effect is smaller for heavier armor types. It is also vital for anyone wishing to fight well with ranged weapons. Dexterity is most important for Rogues and to a lesser extent Adepts.