The reason people like to customize their kernel is so that its not loading alot of things that they don't need. For example, most of the times your kernel comes with options for pcmcia cards that are used on laptops so this feature in the kernel is not necessary for a desktop user. Doing this can, in most cases, speed up the boot up process and alleviate some cpu usage since un-needed things aren't being run.
There are a couple sticky's in a couple of the forums here about compiling a kernel, I suggest you at least read some of them so you can get familiar with what is done during this process. At first it sounds like a very daunting task and you'll probably wonder why people even bother but as you do it a couple times and get to understand exactly what you're doing then its really no big deal.
*Suggestion* -- Its okay to experiment because we've all made mistakes one way or another playing with the kernel, just make sure to back up your stuff before you do anything major.