I know it's a basic question and of course it's what I do every time I cook. But I'd like to know in depth what the reasons are and the detail of how it affects heat transfer and chemical changes in food.
When you're sauteing something, you want it to heat up quickly, so you put it in contact with a hot piece of metal. However, the food is not perfectly flat, so there will be a few contact spots and lots of pockets of air in between. This air acts as a very good insulator, so you will end up with a piece of food that is very unevenly heated.
If, on the other hand, you add some fat, this will 'fill in the cracks' and provide a more even heating of the foodstuff. (Fat does not conduct heat as well as metal, but much, much better than air.)
Also - fat tastes good.