It's designed to allow you to adjust the subwoofer so the the sub and the main speakers are in phase at the crossover frequency.
Ideally both will be in phase - ie the drivers moving in the same direction at the same time - but typically they may well be out of phase, so the sub driver is moving back while the main speaker drivers are moving forward, due to positioning, amplification design and so on. If this is so, there will be a degree ot bass cancellation, which isn't ideal.
By adjusting the phase control - some subs have a simple phase reverse switch, others a dial marked 0-180degrees - it's possible to reduce this cancellation effect, giving you better bass.
The simple way is to just do it by ear, adjusting the control to get the best-sounding bass, but there is a more complex and scientific way, for which you'll need a test disc carrying a range of frequency tones, such as
this.
To use the test disc for this purpose, reverse the speaker connections for the main front left/right speakers, ie red to black and black to red, so they're connected out of phase.
In home cinema systems, either disconnect the other speakers or select pure stereo mode so they're not being used.
Now play the test tone from the CD corresponding to the crossover frequency between the sub and the main speakers - eg 80Hz if you're using the THX standard crossover, or whatever your sub/speaker system determines.
If you've used an automatic set-up system, the menus on your receiver should show what crossover frequency has been chosen.
With this tone playing, adjust the phase control so you get the minimum sound - ie maximum cancellation between the main speakers and the subwoofer, bearing in mind that the change will be fairly minimal if you're using tiny satellite speakers with a stonking great subwoofer.
When you achieve minimum bass/maximum cancellation, the phase is set correctly.
Return the main speakers connections to their correct phase, and you're good to go.