Here's how DKIM works:
(Click the image for a larger version)
Much like SPF, DKIM is an authentication framework that tells the world that it is really you sending a given email message. DKIM can combat spoofing or phishing techniques by proving that the mail server the email claims to be sent from is in fact the server that sent the email. Without DKIM, your messages will automatically be flagged as suspicious and may not be delivered to your recipients.
To set up DKIM, please see Required Technical Setup.