Have you ever ridden a multi-speed bicycle? Ever ridden around in 1st gear? You don't go very fast, but your power is more easily distributed to get you up a hill or over a hump, through some sand, or over some rough terrain?

Same thing with your truck. Its a bit easier on your engine when you use 4-lo to push through rougher or stickier terrain, or up steep hills when you're towing heavier loads (like trying to get my ice-house un-stuck from a frozen lake at the end of the season).