An application or 'App' is seen by many as the third option to deliver a better mobile user experience to their audience (along with responsive design and a separate mobile specific site).
Over the last year or two there has been a flood of apps appearing for everything from content delivery to music instruments, building tools, games, weather apps, calculators, e-commerce and of course social media.
However much kudos you might get from saying you have one, apps can be challenging to produce so they should make sense for your particular business. If your market is going to be looking for your product while out in 'the real world' and/or you can make use of mobile devices core capability (such as GPS) to add value, then it might be worth it.