What exactly is OData and how important/necessary is it to start learning this new concept, wrt implementing data services?
Also why is the WCF Data Services documentati
To answer the second question first, OData (or the Open Data Protocol) is the evolution of Project Astoria/ADO.NET Data Services and is Microsoft's attempt to create an "open standard" for creating readable/writable data using REST. OData is the open protocol that ADO.NET/WCF Data Services uses to implement its functionality, and was directly created as a result of use in several Microsoft products, thus the tight connection.
As for the WHAT, OData is, in essense, a set of extensions to the Atom Publishing Protocol that enable data representation, querying, alternate formatting (JSON), etc.
Here are a couple of good resources to get you started: