We all have a story of our lives, lives we have lived till now. How the major events in our lives took place, what choices we made, why we did what we did, what events/persons/happenings influenced us and what were the associated learning. Tying the critical life events in a logical or a reasonable manner helps us form the story of our lives.
Why we need one?
We need to introspect and realize our choices till now and the associated learning to inform our future choices.
We need to realize the flow of life and be aware that we just do not get carried away by it.
Our story will help us in our career choices as well. A good story is what an interviewer wants to know first thing in the interview. He is eager to know and judge you as a person. Your resume is ultimately a reflection of your story only (It will help you make a good one as well).
The realizations are plenty and you will continue to refine the wording of your story as you get better writing it. So, start soon.