A pier is the directory which contains the state of an Urbit ship. It is automatically created in the current directory when booting a ship for the first time.
Your pier should be kept safe - if it's deleted, you will need to perform a factory reset in order to inform the rest of the network that your ship's state has been lost.
Note that a backup should usually not be taken of your pier as a means of keeping it safe - once the ship is run on the network, the backup will be outdated and running from it will necessitate a factory reset. A running ship automatically backs up its own state within the pier directory for recovery purposes, so as long as the pier is preserved, recovery from most problems is possible.