A live session is running you computer off of bootable media that also contains the installer.
Reasons for using live session:
- Hardware testing
- Install broke.
- Carrying something lighter than laptop to use on a friends computer
A live session does have some quirks. If your computer turns on and won't boot you can run the live session. You could then mount the disk currently on the drive and backup all of your pictures or send an email. If your hardrive or ssd is no longer working you can boot a live session and then order replacment parts. You also can feel free to try different things out in a live session.