Originally Posted by semtex

It's just an additional line of defense against small metallic debris. Your oil filter is supposed to catch debris -- that's what it's for. But sometimes things may get past your filter as no filter is 100% foolproof 100% of the time. As those particles circulate, eventually they'll end up in the oil pan where they'll stick to the magnetized drain plug instead of circulate back into the engine. So when you change your oil, you can clean off any debris stuck to the tip of the plug before you put it back in.