When using Windows, you find you get different Administrative and System level setting such as Managing Services, Configuring Hardware properties and lots more. When you are using a smartphone, you don't get all these previliges. I know, sideloading the apps(installing apps from different sources eg: SD Card) is an in built feature in android, but sometimes only this is not enough. Rooting allows you to gain system level privileges(permissions to modify system files).
Unlocking the bootloader lets you change kernels in an android phone. This is much much higher way of completely customizing your phone and bringing in all kinds of hardware level changes- which also includes overclocking your CPU!
Now, there's more to it. In recent past, rooting was considered illegal and the phone manufacturers did not support it. They even warned customers about high service charges once you brick your phone using those hardware tweaks. In fact, Amazon pushed over-the-air updates which banned the customers from sideloading apps onto Nook. However, companies like HTC and Google allow their bootloaders to be unlocked and OS also to be change completely. Though you lose warranty, but something enthusiasm is the key to take a risk. Though if you handle your phone carefully and load the apps and roms(different community made android distributions for your phone) verified by the community, you won't have any problems.