In Macbeth, what is important about the witches' prophecy?

The witches' first prophecy is what causes Macbeth to think that he could be king to begin with. There is no indication that he had that ambition before they spoke to him. The witches demonstrate that they can tell the future by predicting that he will become Thane of Cawdor, which immediately takes place. This experience makes Macbeth believe that he is fated to become the king, but, of course, he is not entirely content just to let that happen without acting. With some spurring from Lady Macbeth, he murders Duncan. But that is not enough for Macbeth; the witches also predicted that Banquo's children would be kings, implying that at some point Macbeth's line would die out and Banquo's line would rule instead. Macbeth then has to have Banquo killed too.
The witches prompt every murder that Macbeth commits or commissions following the murder of King Duncan. He visits the witches again in act 4, scene 1. They tell him to "beware the Thane of Fife! Beware MacDuff!" This prophecy results in Macbeth having MacDuff's family murdered when he learns that MacDuff has fled to England, out of his reach for the present. The witches' prophecies make Macbeth commit multiple murders in order to try to secure his future power and safety. However, they also cause him to believe that he is secure, telling him that "none of woman born can harm Macbeth." This prophecy turns out to be a trick because MacDuff was born by C-section, rather than through labor, so he does not count as being "born of woman" and can kill Macbeth. The witches play with both Macbeth's ambitions and his fears at once.
The witches' prophecies are important because without them, Macbeth would have had no reason to kill Duncan. Planting the idea in Macbeth's head is what makes the events of the play happen: no prophecies, no play. They also spur the plot onward once it is in motion, prompting more and more killing until Macbeth is finally utterly destroyed.

The weird sisters' prophecy has several important functions in the play. First, their meeting on the blasted heath creates an ominous atmosphere of supernatural horror at the start of the play. It is one of the most dramatic scenes in the play and an audience favorite. 
More importantly, Shakespeare lived in a place and period where most of his audience would have been Christian and believed witches to be evil and allied with the Devil. Thus they provide a religious and moral context for understanding the play.
Next, they set in motion the main plot of the play. It is their prophecy that causes Macbeth to turn his ambition, which has previously been manifested in loyal service to Duncan, to focusing on killing Duncan and taking the throne himself. Because it is evil witches who tempt him to do this, the audience knows that his choices are not justified and that he will prove evil as well. The witches constantly bring out the worst in Macbeth.