The brain is the coordination center of the body. Most of your thoughts are chemical signals between cells in your brain, or electrical signals within the cells of your brain. However, you do have certain 'thoughts' (mainly emotions) that are driven by chemicals in your blood rather than brain cells.

Complex animals need coordination to do anything. Without it, muscles won't work, and of course they can't sense anything. This is the reason why almost all animals have brains (though not quite all - sponges and jellyfish don't for example).