The lymphatic system is composed of a dense network of conduits that carry the interstitial fluid (the fluid that our bodies cells are suspended in) throughout the body. It plays roles in cycling this fluid and in fatty acid transport, but by far the most studied is its role in our immune system. The lymphatic system produces and helps distribute lymphocytes, immune system cells that recognize and kill invading antigens, like bacteria and viruses.

Wikipedia has a good introduction to the lymphatic system and its various roles:
lymphatic_syst