And what's it good for?
When you start reading about fiber types and the specific characteristics of wool, you may run across the term "crimp." Crimp (like scales) is a physical trait of a fiber, from which many of the fiber's characteristics are derived.
"crimp" in fiber, and they have three main effects on the yarn it creates:
Imagine a length of wire. Now bend it into zig-zags. Now imagine tugging on one end. When you let go, it bounces back - like a flattened spring. The same thing is true of wool fibers.
"Bounce" in yarn terms means that if you distort the fiber in some way, it will try to get back into shape. If you have ever worn a long cotton sweater, only to have it sag out of shape over the course of the day, you can appreciate the power of bounce. A wool sweater doesn't sag because the spring-shaped hairs help it constantly bounce back into shape.
This is also what lets you block a garment back into shape if it has been tugged out of shape. I'm thinking of sweater sleeves which have been cuffed back (and stretched out of shape), and scarves which may have developed a flare at each end from hanging too long.
2. Sticking together
Crimp is an important consideration for spinners. The more crimp a fiber has, the better it will hang onto the other fibers, and thus the thinner you can spin the yarn.
Each zig-zag in the crimp is one more opportunity to get tangled with a neighboring fiber. Think of a pile of drinking straws, versus a pile of coat hangers. It's almost impossible to pull a single coat hanger out of a big pile, because the bends in the hanger tend to snag the other hangers.
This particular property is the main reason your dog or cat grows crimped fibers in winter. The zig-zags help trap microscopic particles of air, which serve as insulation. Think of the difference between a sheet of flat cardboard versus a sheet of corrugated cardboard. The corrugated cardboard provides much more insulation, for almost the same amount of material.
In yarn, loft is what makes yarn feel soft and smooshy to the touch. It's also what helps keep you warm, as the fibers in the yarn trap air just as they do for the sheep.