Many years ago, farmers had no choice but to save some seed at the end of each season. There were no mail order houses or easy / cheap ways to get seed, so they simply set aside a little bit from the best part of their crop to use the next year.
There are many reasons why people still save seed today.
Some people feel it is cheaper than buying new seed each year.
Some people are concerned about the genetic modifications that the big seed companies make to the seeds. Some seeds have been modified to the extent that you cannot plant a new crop from the previous year's crop.
Some people feel it gives them a connection to the earth and the cycle of life by using what was grown and died this year to start the cycle again next year.
Some people like the idea of being “off the grid” with their food supply.
Some people are concerned about biodiversity. Biodiversity is the variation of life forms within a given ecosystem. If a farmer sells 90% of one crop and only 10% of another, he is likely to slowly convert to the crop which he sells more of. If a particular crop ships or stores better, it will also crowd out other varieties (even those that taste better). An heirloom plant is a plant or vegetable that was commonly grown during earlier periods in human history, but for reasons similar to those just mentioned start to disappear over time and many people enjoy saving seeds to keep the varieties going.
Seed to Seed: Seed Saving and Growing Techniques for Vegetable Gardeners
is the de facto standard on saving seed. You can also Google “seed saving” to turn up a number of useful sites.
I started simply with the leftover Halloween pumpkin, some sunflowers from a farmer’s market, and some late season tomatoes from a very productive plant we had this summer by following the instructions in the book and packing them away with the regular seeds I bought mail order. I plan on planting them in the spring along with everything else and, if it works well, plan to expand on it at the end of this year.