Resources are the lifeblood of your empire. From construction to production to upkeep, everything you do needs resources.
Different units and buildings need different types of resources, and so you may not be able to support an economy or an army of every kind just on your starting resources. You may need to seize new territory to exploit the resources that can be found there, or pay a visit to the resource market.
The resource market is a centralised market where all nations (aside from those that have placed trade embargoes against each other) can buy and sell resources. This is an easy way to ensure that you have access to resources far beyond your nation’s borders, as long as you have something to offer in exchange.