There are thousands of factors that search engines use to rank your website amongst its competition. Identifying problems on your own website is one way to correct things that may hinder your overall, long-term SEO success, and enables you to focus on areas that matter most such as link building and creating content.
There are many ways to identify problems. One such free resouce is SEO Site Checkup, which analyzes URLs and provides recommendations so that sites can load faster, rank higher and ultimately attract more visitors. I am usally pretty cautious about these type of tools, but the advice provided is actually pretty accurate and relatively comprehensive in scope.
While it was not completely accurate in every sense (we do actually have a sitemap and a robots.txt file) the online service did provide a few good suggestions such as limiting the number of HTTP requests.