http://66.102.9.104/search?q=cache:...6882+ATX4P1&hl=en&ct=clnk&cd=1&client=mozilla Yeah, plug it in. I know that on DFI LanParty boards there is a similar socket - it adds stability when overclocking (overvolting in particular) or just running power hungry kit.
It's really only necessary for SLI and CrossFire setups, so it's optional to plug it in, I have mine left out. Some boards(I know the A8N-SLI does) will tell you on the POST screen that you should plug it in when you have 2 PCI-E devices that would need more power.