Simply put, fastboot oem lock puts your bootloader into a mode that prevents you from overwriting your recovery image, without a subsequent fastboot oem unlock. This serves as a security precaution, primarily where the default recovery and firmware is installed.
- The default recovery will only allow manufacturer/Google signed firmware to be installed and doesn't allow you to do much of anything else.
- Unlocking the bootloader will erase all data.
....you can rest assured that, under this configuration, no one can take your phone and, say, bypass a screen lock by installing a custom firmware where the security considerations are different.
Note that as this merely locks in your recovery, and then again only from bootloader-overwrites, this is most useful where the recovery is stock, and the installed ROM is an official one that has no security vulnerabilities. This is important because in most recoveries, and in some ROMs, there are ways to clandestinely access data via USB, bypass security settings with fixed button presses or unpatched backdoors, or install custom recoveries.