All the sibling answers are pretty much spot on except for one thing: you're building your credit score; you're setting a track record for your ability to repay debt. Certainly, something similar exists in your neighborhood/region/country. Otherwise, how would anyone know that they'll ever get their money back from you?
The major thing to note here in the US is there are three 'big' companies that track this information about individuals. And (now) there's a fairly standardized method for calculating your score, and that score affects A) whether you can borrow and B) the interest rate on the borrowed money.