Importing session data in Pro Tools is quite a valuable time saver. It also serves as the best way to keep continuity on session to session when working on a project or album. As the name suggests, it allows you to pull in data from one session into another. This can be audio/midi or this can be settings such as plugins, routing, pan, volume, etc. The exact method and process will depend on what you are after for your end results.
The most important feature of importing session data, is the ability to import track settings out of one session and overlay them onto a track in your current session. This gives you the ability to exactly replicate tracks from session to session. The other important use is the ability to pull in entire tracks from another session with all their settings. Where this comes in handy is for aux tracks, master section, VI tracks and routings, etc. You can bring in all your vocal aux returns, effect aux returns, all your instrument tracks and the aux tracks you have the individual outputs of the VI routed to. I like to keep the songs I use for reference mixes sitting in a session where I can quickly pull in whatever songs I want and have the routing setup. Obviously there is a lot of other possible uses, but this is a good primer for its abilities.
In the video, I go over the Import Session Data dialog box. I then cover some of the different methods of importing data into your sessions.