"System.map". is a file (produced via nm) containing symbol names and addresses of the linux kernel binary, vmlinux.
Its primary use is in debugging. If a kernel "oops" message appears, the utility ksymoops can be used to decode the message into something useful for developers. ksymoops makes use of the System.map to map PC values to symbolic values. Note that 2.5 kernels have an in-kernel oops decoder called kksymoops, which does not need System.map
You may get warnings about your System.map being out of date. This won't affect normal running but its best to keep a copy around if there is a kernel bug / hardware failure. Note that ps l uses System.map to determine the WCHAN field (you can specify a map file with the PS_SYSTEM_MAP environment variable). The utilities look in a set of standard places for this file like /boot/System.map and /usr/src/linux/System.map