World files are used to store georeferencing information for rasters. More specifically, they describe the origin, spacing, and rotation of a raster.
Several raster format readers will read world files present alongside a dataset, and many raster writers have the option to generate a world file to accompany the output dataset. Consult individual format documentation for more information on their world file support.
Raster format readers will give world file georeferencing more precedence than georeferencing in the raster dataset. That is, if the world file stores georeferencing information that is different than that from the source dataset, it is the world file georeferencing that will be applied to the raster. If this is not desired, a simple workaround is simply to move or rename the world file so it will not be read by the format reader. Additionally, note that readers that read both world and TAB files will give more precedence to the world file.
Also note that most raster format writers will not write a world file if the output raster contains only default georeferencing information: an origin of (0, 0), spacing of 1.0, and rotation of 0.0.