Hi zli034!
I guess you mean to say: every open cover has a finite subcover...
Anyway, the development of compactness has been a long one, and that makes it pretty hard right now to see the significance of some things.
The story begins with analysts like Weierstrass, Cauchy, Bolzano,... They wanted to formalize things like continuity, limits, etc. And some of the most important theorems had to do with closed intervals:
The extreme value theorem: Let f:[a,b]\rightarrow \mathbb{R} be a continuous function, then f attains a minimum and a maximum.
Other nice things we can do on closed intervals is for example defining integrals. Of course, we aren't happy with this, we want to make this more general. Because, what if our domain is 2-dimensional or 3-dimensional? What should be the generalization of closed intervals? Well, it appears that closed+bounded is the right analogon. We have:
The extreme value theorem: Let X\subseteq \mathbb{R}^n be closed and bounded and let f:X\rightarrow \mathbb{R} be a continuous function, then f attains a minimum and a maximum.
Everything looks cool now, but things needed to be much more general. Developments in physics and mathematics (for example, differential equations), require us to look at more general things than \mathbb{r}^n. These general things are metric and topological spaces. Of course, the terminology "X is closed and bounded" makes sense in metric spaces, but the extreme value theorem is false under that assumptions!
So mathematicians set out to find analogons to "closed and bounded" in metric and topological spaces. And after quite a long search, they found the definition with subcovers. With that definition, we indeed have
The extreme value theorem: Let X be a compact metric space and let f:X\rightarrow \mathbb{R} be a continuous function, then f attains a minimum and a maximum.
So our definition of compactness indeed satisfies things like the extreme value theorem, and allow us to define integrals. Other applications are the theorem of Ascoli-Arzela where our new definition of compactness is essential!
Finally, it is of course the question if our notion of compactness agrees with "closed and bounded" for subsets of \mathbb{R}^n. This is exactly the theorem of Heine-Borel.
Note that the original definition of compactness was much more complicated. And the definition of open covers is actually a relative simple one...