What is this? Why do you need it? Why doesn't it come from the factory with the car?

This is to prevent oil vapors from going into the Intake.
Most will RECOMMEND getting one.
Billet Technology is the most popular.

The factory's system is to use what's acceptable by the regulators for emissions. Remember, factory isn't looking to turnout vehicles tuned to 10/10th performance. It's looking to produce a vehicle that qualifies within specific criteria of reliability & performance.

So there's 3 things to remember about the catch-can:
a) it traps vaporized oil that is returned to the intake manifold to be burned in the normal combustion process. Adding oil to the intake charge can possibly a) lower the octane and thus cause the ECM to remove timing which reduces performance or b) cause erractic burn of the charge thus causing the ECM to pull timing etc.
b) it keeps your throttle body and intake manifold 'cleaner' than without one.
c) it looks GOOD in the engine bay (bling factor).

At the end of the day, whether A is true or not, B and C are proven and given the price of this mod, I'd call it insurance at the least and a worthy mod at best.

Here's a good thread to read regarding catch cans. It should answer ALL your catch can questions:

http://www.cherokeesrt8.com/forums/showthread.php?t=11633
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Here's what my Mopar catch can looks like.... I just received my SS braided lines and chrome clamps from BMC. In alignment with PJs rundown, my 2010 has been sitting in the garage with 35 miles on it waiting for this device.

To some it may appear hocus pocus.. in my view, it's an excellent way to prevent contaminates from entering the manifold and mitigate any potential changes in performance over time. Like PJ said, it's good insurance...

I guess you can tell I'm a Mopar purist... :)