Plain and simple, sometimes things gotta die. Like in any game, offensive and defensive positions are constantly shifting. This is especially true in multiplayer games. Threats are cards capable of shifting a player into an aggressive position. Answers help to restore parity or initiate counter-offensives. Single-Target Removal attempts to answer opposing threats on a card-to-card basis, often for much less mana than the threat cost.
Most removal players consider is characterized by costing much less than whatever the threat was. If I can answer a 5-mana threat with a 1-mana answer, then my answer is considered efficient. Typically speaking, however, mana efficiency comes at the expense of usability. As a result, efficient removal is sometimes limited in what threats it answers or how permanently it answers threats.
Burn
Burn spells deal damage to permanents, making them susceptible to the same countermeasures as Destruction. Unlike other forms of removal, many burn spells are able to do damage to players, enabling them to act as supplemental win cons. Some do not, like Fight effects or Bite effects, which require a creature. Lightning Bolt is usually considered the poster child for this type of removal.
Counter
Counters can be considered the ultimate removal because they prevent the threat from ever existing. There are very few things that can be done to force spells through. You only get one chance to remove threats with counterspells, however; once it has resolved, the counter is useless. Sitting around with free mana, waiting to answer a threat causes the player to play inefficiently. Still, two open blue for the eponymous Counterspell strikes fear into players.
Protection
Protection spells are kind of like…answers for answers. Granting indestructibility in response to destruction or burn or hexproof in response to targeting protect your threats and allow aggressive decks to stay aggressive. The risks you take with spells like God’s Willing or Tamiyo’s Safekeeping are that your threats need to be already out and able to win within the window you create.