Difference between SoftwareSerial and Serial

All Atmel MCU, on which Arduino models are based, include special hardware for serial communication; this part of the MCU is called USART (stands for Universal Synchronous/Asynchronous Receiver/Transmitter).

Based on the Arduino model you have, you may have only one (eg on UNO) or more USART (leonardo, mega...) on the board MCU.

Each MCU USART is mapped to specific pins of the board, you cannot change those pins.

On Arduino, if you use the monitor to send debug information to your PC, then one USART is used, this is when you used Serial.

If you need more than one serial communication link (e.g. because you have some devices that communicate through serial) but your Arduino model has only one USART, then you have to use the library SoftwareSerial that "simulates" the job of an USART only by software. Hence it is much less optimized than the hardware USART.

One advantage of SoftwareSerial is that you can map it to any pair of pins you like.

Going to your code sample:

if (mySerial.available())
    Serial.write(mySerial.read());
if (Serial.available())
    mySerial.write(Serial.read());

Obviously here, Serial is used for debugging (sending info to the serial monitor of your PC), whereas mySerial is used to communciate with the GSM device.

So this sketch is used to allow you to type AT commands on the monitor, which will then be forwarded to the GSM device; conversely, any strings returned from the GSM device will be echoed to the serial monitor.