http://music.google.com
A locked bootloader only allows signed ROMs to be flashed. Basically this means a unlocked bootloader allows you to flash the ROM on the phone with anything you want therefore with a unlocked bootloader you can put custom versions of Android on the phone that have not been provided by the manufacturer.
You'll find many ROMs made by the community over at sites like xda-developers.com and without a unlocked bootloader you won't be able to use them.
Also if you want to modify the stock ROM on the phone (e.g root the phone) you'll need an unlocked bootloader unless some exploit is found.