Cover letters are often seen as an optional document to include when applying to jobs. However, this is a letter from a prospective employee to an employer that accomplishes three things:
Cover letters express your interest in the job and allows you to showcase your personality in greater detail than a resume affords.
Cover letters allow you to sell yourself to the company even more by highlighting how you would be the best fit for this position.
Including a cover letter demonstrates how willing you are to work for the position - and hopefully the job. Two individuals with strong resumes can be seperated by whether they included a cover letter or not.
Therefore, it is highly encouraged to include cover letters when applying for jobs. Additionally, cover letters can sometimes be requested when applying for scholarships, internships, etc.