Deborah Lipp has written recently about immanence, so as a lazy blogger let me point you first to her post. Do come back.
Deborah says that the immanence of deity--which she defines as gods' being inside us--means that the source of value and goodness is also within us. Such a view rejects an authoritarian, "handed down from on high" view of morality in favor of something more self-directed, more democratic. I define immanence more broadly than Deborah does, though I don't disagree with her.
I take the transcendence of deity to mean that god is somewhere outside of nature or everyday reality: above, beyond, distant from us. If god is "out there," even if he can intervene "in here," then "out there" is more divine, better, more desirable. It's heaven. If god is transcendent, then we are necessarily at least somewhat alienated from god, because there is a place he occupies that we don't. (Hence the need for mortal intercessories in Christianity: saints, Mary, or Jesus--someone who can get the message to the big guy, who can mediate between heaven and earth).
The immanence of deity means that there is no "out there"; there is only "right here." The Divine is present on earth and in us. She is present in mountains, springs, trees, compost piles, cities and slums, my pit bull, you, and me. Elizabeth Barrett Browning wrote that "earth's crammed with heaven." More prosaically, I think of the world's being infused with divinity.
People either believe in the immanence of deity because they experience the world that way (Starhawk famously compares the question "do you believe in the Goddess?" to "do you believe in that rock?"--belief really isn't at issue), or they experience the world as suffused with god because they believe it is (the background belief thus affects the quality of experience). I can't tell which it is for me; the mystic favors for former explanation, and the skeptic favors the latter.
Why does it matter whether deity is immanent? On a practical level, the way I treat the beings and things around me is affected. I'm much more likely to be patient with my dog, my child, myself, if I remember that we all partake of the Divine. Other choices I make that reflect my belief in the Goddess's immanence are to eat food that's organically or humanely raised, to pick up trash when I'm hiking, not to use chemicals when I garden or clean my house. It's not that I think, "god is there, I should be careful." Rather, I experience the things in my life as holy, and from that experience I strive to make choices that honor the holiness of all beings.
Thus a belief in immanence is closely connected, for me, to a belief in the sanctity of the earth. The earth is all we get. There is no heaven, no afterlife in another place untained by fallen humanity. We don't get to escape the earth. We don't get to use it up and then leave. If we eschew or deny what's real, we don't get to transcend the consequences of our actions. God Herself is in the whole thing. She is the shadow as well as the light. And She is as close as the beating of your heart.