What exactly is OData?

What exactly is OData and how important/necessary is it to start learning this new concept, wrt implementing data services?

Also why is the WCF Data Services documentation so tightly coupled with OData?

Edit: Based on answers here's a follow-up question - I shouldn't be trying to implement WCF Data Services sans OData,or I can do that but that would mean doing it the tougher way(reinventing the wheel)?