On Wikipedia..."The PRL indicates which bands, sub bands and service provider identifiers will be scanned and in what priority order. Without a PRL, the device may not be able to roam, i.e. obtain service outside of the home area. There may be cases where missing or corrupt PRL's can lead to a customer not having service at all."...
http://en.wikipedia.org/wiki/Preferred_Roaming_List
The rep basically told me it is a list in your phone of where the cell towers are located and so for example if a new cell tower was added, without updating your list, your phone would have no idea it was there.
If anyone knows more or I am mistaken, please correct me or explain further but this is basically what I remember.