Spinal nerves exit the sacrum and coccyx (tailbone). The bone protects the beginning of those nerves.

The coccyx also is the place for the origin of pelvic muscles. The sacrum and the coccyx protect the internal organs of the pelvis too.

Notice that the cervical and lumbar parts of the spine have a "C" shaped curvature. Then see that the thoracic and sacral parts of the spine have a reversed "C" shaped curve. Those are important curves to decrease mechanical stresses in the spine.

It also gives us a nice curve in our tush.