There are air pockets in your ears and sinuses. As you descend, water pressure squeezes the air in these spaces causing discomfort (and if ignored, it can cause potential harm). Therefore, you must equalize the pressure by the various methods taught by your instructor. Never dive with a cold or sinus infection, because this will impair your ability to equalize, and it may result in damage to your ears or sinuses. You can have blockages caused by mucus buildup that can damage ears or lung alveoli. You also do not want to spread the cold to other divers.
You may get a squeeze as you descend. A squeeze is a pressure imbalance in which pressure outside an air space exceeds pressure inside an air space, resulting in discomfort and pain. To reduce the risk of this, you need to equalize. Although very rare, you may have airspaces in filled teeth where a filling has eroded. If this is a problem, seek medical advice because this space cannot be equalized.