The wavefunction of a quantum mechanical partice must be continuous, otherwise, the probabilistic interpretation of the wavefunction fails (I mean of thprobability density, that is, the squared magnitude of the wavefunction |\psi(\vec{x})|^{2}dx^{3}) which tells you the probability of finding the particle in the volume interval dx^(3). Reducing it to one dimension, imagine a wavefunction with a jump at some x0, so that the quantity above passes from 0.4 to 0.1, what is the true interpretation of that? Also, think about the infinite potential well, where both sides of the wall are defined as (V(x=\pm L)=+\infty) In this concrete example, the continuity of the wavefunction states that, at the edges of the well, the wavefunction must vanish since the potential is infinite for x>L or x<-L, which means that the probability of finding the particle in that region has to be identically zero (here you see the probabilist interpretation we talked about before). Having we had a finite barrier, this continuity equation will still hold, however, the wavefunction at the edges will no longer be 0, and we would have \psi_{C}(x=L)=\psi_{R}(x=L) so that the central part and right part are linked that way, and analog for the left part at x=-L.
The significance of the wavefunction must be intimately related with the probability of finding the particle, and mathematical functions not satisfying this are just pure mathematical issues, but representing no physical situation.