The authentication step is used to determine the identity of the user accessing the application or service. By challenging them with a action (i.e. entering a username and password) that only that person will be able to successfully complete, the application can be reasonably comfortable that the user accessing the system is who they say they are.
In the application world, the most common form of authentication request is the login screen asking for a username and password. These credentials will be validated against a data store and, if valid, the user will be successfully authenticated.
The result of the authentication process is that we now know who is attempting to access our application or service.