Without it, quiet fades or low-level signals may sound "choppy" or cut off abruptly due to rounding errors.
It should be the very last step in your mastering chain.
In audio, dithering is the process of adding a minute amount of random noise to a signal to mask "quantization distortion". This is essential whenever you reduce the of a file (e.g., from 32-bit to 16-bit for CD or streaming).