Wheel bearings are actually what the weight of your car sits on (actually it's what the suspension sits on)
These allow the wheel to turn with relatively little friction. When they go, your wheel can sieze like my buddys did when he was on the highway. Not a good thing to have happen. But they will only seize if they are in really bad shape. A way to tell if they are going is to jack up the side of your car that the wheel is on and take the wheel off. Grab the wheel mount (the part where the lug nuts come out of) and pull it in and out. If it doesn't move in and out too much or at all, the bearings should be fine, but if your wheel comes in and out a fair amount, they need to be replaced.