Years ago people needed a way to quickly draw on their monitors, they did this with a tool called a grease pencil. This is especially helpful for animators who need to add notes directly on their screen. However, not everyone wants to draw on their monitors. So a digital version was made, also called a Grease pencil.
You can use the Grease Pencil tool to draw free-hand sketches and annotations in most of the Editors. The sketches that are made are saved with the blend-file so they can be seen at any time, an advantage over the old grease pencil. However, you can also do much more with the digital grease pencil such as:
Planning animation poses and motion curves.
Sketching out model topology.
Hand-drawn storyboarding in 3D.
As director’s tool to review shots.
An advanced use of Grease Pencil is for different tools (e.g. add-ons). Allowing you to draw where the tool is to take effect.