We want the value of the function to get arbitrarily close to the limit. If we denote the limit by y, this means that for all positive numbers ε, the function must at some point in its domain have a value in the interval (y-ε,y+ε). This is why the definition starts with "For all ε>0".
Now consider the function f defined by f(x)=sin(1/x) for all x>0. (I edited this sentence after micromass' correction below).
If we only require that the function get arbitrarily close to a limit, then every number in the interval [-1,1] would be a limit of this function at 0. For example, when x approaches 0, f(x) gets arbitrarily close to 1. But we don't want a definition that makes every number in [-1,1] a limit of this function at 0. We want a definition that ensures that this function
doesn't have a limit at 0. So we require not only that the function comes close to the limit, but also that it
stays close to the limit.
To be more precise, we say that y is a limit of f at b, or equivalently, a limit of f(x) as x goes to b, if there's an open interval around b such that
all the values of f in that interval are in the interval (y-ε,y+ε). In other words, we require that there's a δ>0 such that for
all x in (b-δ,b+δ), f(x) is in (y-ε,y+ε).
If you understand this, it should be pretty obvious that given a small ε, you have to choose a small δ to ensure that the last requirement is satisfied. This is why δ depends on ε.