The 'White Balance' you choose will change the colour balance in your photographs... making them warmer or cooler depending on how the sort of light you're shooting in affects things.
Using 'Auto-White Balance' is easier and the more simple option, but your camera's 'white balance' presets give you more control over colour.
The diagram below shows how 'White Balance' works, and the differences between each setting.
My Experimentation
The photographs below show each individual 'White Balance' settings. If you hover the mouse over each picture it will tell you which 'White Balance' setting has been used for that photograph.