VMU pretty much stands for the Sega brand memory cards for Dreamcast. The built-in screen is often used during games to show your health in adventure games, display ammo levels in FPS, choose plays in sports, etc. Even if you never play any of the standalone VMU mini-games, a Sega brand VMU is a good thing for any DC owner to have. The third party memory cards often don't have a mini-Game Boy type screen on them at all and are just good for saving.
Sega brand VMUs originally cost about $25 each when DC first came out, but Toys R Us now has new ones on clearance for $2.50 each, and I've seen then used for as little as $1 each. If you buy a DC, be sure to invest in a few VMUs if you see them cheap enough.