You don't need one to travel, it's not like a visa, but it is advisable to have one. Basically it allows you access to the national health services of European Union member nations, if you were to fall ill abroad and need medical care. It's not a medical insurance, and you should be aware that in some countries the public health service is appalling, but it's worth having one just in case. You can get apply for an E111 at larger post offices.