If you find breathing a challenge, feel puffed, head-achey or just tense when you swim then it's essential for you to develop your exhalation technique if you want to improve your swimming. For everyone else it's merely very important!
Note 1: You can find the sink down exercise John's referring to at the bottom of this page: Breathing Exhalation. Exhaling into the water doesn't feel very natural at first and the sink-down exercise helps you get the feel of it.
Note 2: Bubble-Bubble-Breathe is a mantra to say to yourself whilst swimming. It helps co-ordinate breathing every three strokes (bilateral breathing) and exhalation into the water. When you breathe every three strokes the pattern is normal-stroke, normal-stroke, breathing stroke and repeat.
To develop that exhalation actually say into the water "bubble" on a normal stroke, "bubble" again on the next normal stroke and then breathe. By saying "bubble" you will exhale strongly into the water and this will help you get the hang of it. (By the way, you don't have to say "breathe" out-loud!)
Note 3: Bilateral breathing is great because it naturally helps keep your stroke symmetrical. More here: Bilateral Breathing