There are many sensors and computerized components that manage engine performance and emissions. When one of these fails, the "check engine" light is illuminated. Although your car may seem to run fine, the light is alerting you that the computer has detected a malfunction in a fuel, ignition, or emission control circuit (the circuit that monitors these systems). You should have the problem diagnosed as soon as possible. If the light starts flashing, your car's computer has detected an engine miss that could lead to severe damage and a breakdown (i.e. catalytic converter damage). For your safety and the vehicle longevity do not continue to drive with the light on. 
When you call of visit the shop it is helpful to have some information.  What were the driving conditions and circumstances when the light first came on? Did it come on shortly after you filled the fuel tank? Did it come on after an extended drive? These clues can help the technician detect the problem.