What is a Drip Loop?

After ripping open your new filter box, you noticed a little slip of paper fell out. Picking it up, you casually read it on the way to the garbage can to toss it. It warns that you need a drip loop before turning the filter on. Hmmm, maybe you shouldn't throw it away just yet. Wait a minute, there are no drip loops on the parts list. So what is a drip loop anyway, and is it really necessary?