Well actually you don't NEED lube. But what lube does is lessen the amount of lead fouling in the bore and also helps to keep the black powder (or substitute) fouling soft for easier removal. I imagine it also helps a bit in preventing corrosion for a short period depending on what lube you're using. Failure to use lube will likely lead you to a tough cleaning job once your shooting session is done.
Frontier Muzzleloading has a bullet/patch lube that has an anti-rust agent in it that I've been using as a patch lube in my round ball shooters.