This is used when a user requests a secure url, they are then redirected back to this page after authenticating.
Take a look at this resource, very useful. Forms Authentication
As for removing this part of the URL, I don't think this is possible (but I haven't looked into it since it's a useful feature). You often get links to things such as news articles. You don't mind re-authenticating, but if you were to then just go to a random home page, that would be annoying, the desired action would be to have the site automatically redirect to the page you initially requested.
Edit: Another reason besides a direct link that you need to authenticate for, could be a scenario where you're reading a multi-page article, you click next page and the session has expired. You're taken back to the login page, authenticate and then return to the page you were reading. It would be undesirable to return to the homepage for you to search for that article again.