Music with realism and authority means music with bass. It is that driving bottom end that turns string quartets into symphonies and gets you twisting in your chair. Full range speakers deliver it with ease, struggling only for the lowest notes, but bookshelf speakers are going to need help from a subwoofer.
A subwoofer is a dedicated speaker that reproduces the lowest frequencies, from 150 hertz down to 20 hertz. Below 20 hertz you cannot hear sound though you can still feel it. Usually subwoofers are single box solutions. You add one to a system and suddenly the tympani has joined the band. Computer speaker manufacturers often include one in their better all-in-one packages.
Picking the right subwoofer depends on the quality and quantity of bass you want to add. Small subwoofers can add plenty of impact but may struggle to get the lowest frequencies. Larger units can go deeper but take up valuable space. Of course, as with everything in audio, you can get carried away with subwoofers. Here is a homemade subwoofer the size of a wine cellar.
A small room will not need as powerful a subwoofer as a large space since the walls reinforce the bass frequencies. That coupling has both good and bad sides. While the walls add free bass, they can also accent certain frequencies creating imbalances in the music. There is a nicely detailed write up on subwoofer placement in the Audiophiliac that offers fine tuning tips. As with your main speakers, taking the time to properly position your subwoofer will add precision and life to your computer audio.