The sway bar end links connect the sway bar, other wise know as an anti-roll bar, to either the axle or body of the Jeep, depending on where the sway bar is mounted on your Jeep. When you drive around a corner, the Jeep will naturally want to "roll" or pitch towards the outside of the turn. The sway bar helps stop this "sway" by causing an opposing forced to be placed against your vehicle.
During slow speed off-road driving, sometimes it can actually be helpful to disconnect the sway bar. Disconnect end links make the job quick and easy, and usually don't require any tools. By un-hooking the sway bar links, you're Jeep will be free to allow the suspension to flex helping you maintain traction.