When different substances are heated they do different things:
Fats Melt
Example: Butter melts when heated
Sugars Caramelize
Example: If you brush milk on top of a pie crust and bake it, it browns or caramelizes
Proteins Coagulate
Example: eggs coagulate when cooked
Starches Thicken
Example: gravy thickened with flour or corn starch thickens when cooked
These simple facts probably won't change your life, but when built upon additional baking knowledge, they may help you trouble shoots issues, understand how certain recipes work (ie how custard thickens), how to avoid simple mistakes, or help you to make something without a recipe.