mreik pretty much sums it up. post workout, your muscles are craving amino acids found in protein shakes (well, protein in general...shakes are just very convenient). so feeding them right away does two things:
1. it replenishes what the muscles need so they can repair the damaged caused my weight training
2. helps maintain a poisitive nitrogen balance in the muscles, keepign you in an anabolic (muscle building) state
there is little doubt that post workout nutrition is important, and often times can be a deal breaker in terms of maximum muscle growth. if you're lacking calories and protein, no amount of weight training will bulk you up.