wordpress: managing settings
The only option here is whether to allow search engines to index your content. The only time you wouldn't want that is if you're developing a site that isn't yet ready for public consumption and you don't want visitors arriving early (though in that case you should be using a plugin to block the whole site from unregistered users). If you turn this on, remember to turn it off again when your site goes live, or you'll be mystified why you're not showing up in search results! Later versions of WordPress will warn you if you accidentally leave this turned on.