As the fuel in the gas tank gets warm some of it evaporates. These fuel vapors would increase the pressure in the fuel tank if not vented somehow. Instead of venting unburned gasoline to the atmosphere, our cars send these vapors to the "Charcoal Canister" The charcoal absorbs the fuel vapor, and stores it. Then under the correct conditions, the computer opens up a valve and flushes those vapors into the intake system.
This canister has no affect on power. Removing it can cause the car to smell of fuel when hot (either due to driving, or just hot weather).
Jason is spot on. That cannister has NO effect on performance, but rather keeps the air smelling fresher and actually can help performance a tiny tiny bit when the vapors are introduced.
Jrichker has a nice tip about removing that cannister - if one parks in a garage with a gas appliance (water heater, etc), having fuel vapor floating around ambiently is not a cool idea.