Wave makers are not needed in every reef tank. However, some invertebrates, corals and sponges require them in order to move about the aquarium. A wave maker is a device the connects to 2 or more pumps/power heads. The wave maker will control the pumps to create various currents. They model the pulsating currents of the ocean.
Aside from providing natural-like currents, wave makers also help prevent dead spots from forming in your tank. A dead spot is an area that receives no water movement. This can provide proper conditions for red slime algae to grow or denitrus to collect.
As mentioned above, not all reef tanks need wave makers, but most reef tanks will benefit from them. There are many different wave maker systems to choose from. Some are simple controllers while others are elaborate programmable systems that can even be connected to your home computer. The only real reason not to have a wave maker is cost. Even lower end controllers are over $100 plus the cost of power heads or pumps.