Plugins can extend Photoshop and make it much more powerful, doing things that aren't possible in Photoshop. Some plugins, like Noise Ninja or Neat Image, are add-on programs complete unto themselves - they even have stand-alone versions that do not require Photoshop. But running them as a plugin within PS lets you use many of PS's tools to make the final output even better than the standalone. So they trade off each other. PTLens is a plugin that does things that CS2 can do, just not as automatically or intelligently. And CS could not do those things.
However, there are a lot of plugins - and all actions - that just make things easier. They don't add anything, but rather make repetitive steps run much easier and faster using less brain-power. The TLR Sharpening Toolkit is one such example - it's just a collection of PS editing steps. "Just" is a weak word here, since the actions have Glenn Mitchel's brain behind them doing much of the work, making it easier on your brain. (And you simply can not beat the price!)
TLR requires PS - all actions do. It kinda-sorta becomes a part of PS, since it appears in the menu system. But it is easily removed - you just need to know the file to delete it. If you're new to computers it might seem a little difficult but there are many of us here who can tell you how to remove it in a heartbeat.
Plugins *can* cause problems in PS, and it is possible for them to corrupt something in PS. Both are unlikely, but possible. I would not go running around installing anything that seems "cool" just to play with it. OK, *I* might but I wouldn't recommend that to others. Check them out first, and/or ask someone here. I'd say that the ones listed in the Freeware Sticky are all safe, but that's very very few out of everything that's available.
My recommendation for you would be to not install anything unless you know you have a need (however slight) for it. If you don't know much about sharpening using only USM then I wouldn't go running off trying the TLR toolkit. It's a complicated kit that requires some understanding, and that requires a bit of knowledge. Yes, you can read his docs and do very well, but (in my opinion) it's a kit that helps you take sharpening to the next level. Gotta learn to walk before you learn to run, in a way.
But not all plugins or actions are like this. Take Mike's Framing Script, for example. If you like the output then you'll like his scripts, and they're easy to use.
All in all, it's not necessarily easy to know what to use or when. So I'd suggest asking yourself what do you need/want to do. Can it be done in PS by hand? Will it be better or easier using a plugin or action? By then you'll know to look for something or try something.
Oh, and read a lot here. The good ones get mentioned a lot. And don't be afraid to ask questions. Not many of us bite. 
