Roles and Capabilities
Your WordPress site must have at least one user. This one user must be an Administrator and will have permission (called capabilities) to do everything on the site.
You can have many users and these users can have different roles and permissions.
WordPress has certain roles already defined - Administrator, Subscriber, Author, Contributor and Editor. (Multisite WordPress installations have Super Admins as well). For a list of what these different roles can and can't do in a fresh WordPress installation, you can read this article.
It is possible to customize roles and capabilities with code or with a plugin, but that's beyond the scope of this article.
Adding Users to Your Site
You can either add user's to your site manually or you can have them register themselves on the registration page ( yourdomain.com/wp-login.php?action=register ).
You don't have to allow users to register on your site. You can turn this functionality off at Settings->General. On the other settings tabs you will also see options to require commenters on your site to be registered, assign users their default roles, etc.
You can list, add, edit and delete users on the Users menu option in the sidebar. From this screen you can filter users, search for users or edit individual user's information. Depending on your theme and the plugins you have installed, the options for each user will be different, so we won't go over them here. I suggest you edit one of your user's to see which options are available with your site.
Allowing users to login into your site will allow you to build communities, but it also introduces some security risks. So, only allow them to register if you are interested in building a community of users and make sure you are giving them the proper roles so that they only have permissions to do what you want them to be able to do.