More and more states are allowing voters to vote early. This is very important because it helps determine election forecasts and, eventually, the nomination itself. Early voting is a way for individuals to make their voices heard in a unique way: as a separate entity that chooses to take initiative rather than waiting for things to happen.
Many Americans don't have vacation days and/or can't afford to take days off from work, so having only one day to vote isn't fair. Early voting is essential because it gives people more chances to vote. It allows every American the opportunity to voice his or her opinion in the election.
Whether you vote early or the day of, the only thing that matters is that you voted. Early voting can kind of give an idea of how the election will go but even that is speculation. But if you are interested in getting it out of the way then it is best to vote early.
I would not say it's "important". Regardless of early voting or voting day voting the outcome is going to be what it is going to be. Voting early isn't going to change anything. It sure is handy though. It's nice not having to go to the polls and wait in line to vote for terrible candidate #1 or terrible candidate #2.