Natures affect the stats. An adamant nature, for example, boosts the attack stat, while lowers the special attack stat. It's wise to use a nature that boosts the stat you're highest in, or should be highest in. For example, if you're using a choice item, you should boost the speed with a speed boosting nature - usually jolly or timid (if it's an attacking item instead of scarf), since you're already getting the boost from the choice item. So for competitive battling this becomes an important thing.
