What does [STAThread] do?

The STAThreadAttribute is essentially a requirement for the Windows message pump to communicate with COM components. Although core Windows Forms does not use COM, many components of the OS such as system dialogs do use this technology.

MSDN explains the reason in slightly more detail:

STAThreadAttribute indicates that the COM threading model for the application is single-threaded apartment. This attribute must be present on the entry point of any application that uses Windows Forms; if it is omitted, the Windows components might not work correctly. If the attribute is not present, the application uses the multithreaded apartment model, which is not supported for Windows Forms.

This blog post (Why is STAThread required?) also explains the requirement quite well. If you want a more in-depth view as to how the threading model works at the CLR level, see this MSDN Magazine article from June 2004 (Archived, Apr. 2009).

It tells the compiler that you're in a Single Thread Apartment model. This is an evil COM thing, it's usually used for Windows Forms (GUI's) as that uses Win32 for its drawing COM for drag and drop COM components (thanks @AnthonyWJones), which is implemented as STA. If you are using something that's STA model from multiple threads then you get corrupted objects.

This is why you have to invoke onto the Gui from another thread (if you've done any forms coding).

Basically don't worry about it, just accept that Windows GUI threads must be marked as STA otherwise weird stuff happens.