ASIO is a fast, high-quality way to interact with your sound hardware. Audacity can be a lot more efficient when using it.
According to the Audacity wiki,
"Audacity, as an open source program licensed under the GPL, is therefore currently unable to support ASIO, despite being ASIO-capable (providing the user's sound device is similarly capable). If ASIO support was distributed in Audacity builds this would either violate Steinberg's licence agreement if the code was included, or conversely would violate Audacity's GPL Licence if the code was withheld. There are persistent rumours of Steinberg opening up licensing, but without any apparent movement. Anyone who cares about this issue is invited to make their views known to Steinberg via their Contact page."
This was not compiled by me, it was compiled by another leet person.