In science, a theory refers to an integrated set of principles that explain and predict events that are observed in the natural world. Theories, in the scientific sense, summarize and explain facts, and imply testable predictions that allow for the falsification of the theory. Theory is vital to scientific endeavour, as it generates hypotheses to be tested, gives direction to research (and even suggests new areas for research), and, if the theory is good, has a high amount of explanatory power without requiring extensive modification to the theory. Theory without data is just conjecture, but data without a theoretical explanation is as good as meaningless to scientific practice.
Other examples include general relativity (yes, gravity is technically "only" a theory), special relativity, atomic theory (yes, atoms are "only" a theory too), and germ theory (the theory that small microscopic organisms are the cause of many illnesses).