Whether you want to lose fat, or get strong, squatting is an extremely important workout. Squatting with free weights is basically a full body exercise, working not only your legs but also your core and other stabilizer muscles. If your goal is to get strong, squats are a must. That's why you'll see my logs including squats every time I go to the gym.
If you're new to squatting and plan to start, this is important information. If you're already squatting, then good job. Just make sure your form is right. Bad form can cause you to mess up your back big time, and back injuries are the worst to live with.
What you want to do is start with the bar on your back (with your shoulder blades tightened) with feet shoulder-width apart, and before going down stick out your butt and then go down. Going down before sticking out your butt means you're going to go down improperly; by sticking it out first you ensure that you go straight down and not forward which is bad for your knees. Go as low as you can go (until your butt is at knee-level, this is best) and push back up. Make sure when you're going down your chest is out so that you don't lean forward.
A video showing perfect form is here (don't worry about how heavy it is)