Basically, it's a special link that lets you take the chain apart without tools.

Wipperman link:


SRAM powerlink for 9 speed:


Some people take the chain off the bike to clean it. I do not recommend this practice -- stripping everything off the chain can actually be bad for it because getting lube worked in everywhere it needs to be takes awhile.

There are a few reasons to use removable links even if you intend to clean the chain on the bike. The first is that they are great for chain repair (I carry one in my saddlebag). Broken chains are extremely rare, but when they happen, an extra link is VERY handy. Many years ago, you could just remove a link but reusing pins with the new chains is dangerous.

You have a triple so you'll have a great gear range, but many people with doubles swap cassettes out. While you don't need to remove the chain to change the cassette, it's generally good practice to have chains and cassettes wear together so many people keep each cassette with its own chain.

The last reason is that some people believe that master links are a more reliable way to connect chains than using pins which are easier to install incorrectly.