The collate printing option will keep the pages of a multiple page document together when printing multiple copies of that document.

For example, if you select the collate and print two copies, the print job will run in its entirety once and then repeat. Two copies of a three-paged document would print in the following page order: 1, 2, 3, 1, 2, 3

If you don't select the collate option, the print job will print each page the number of times you've specified before printing the next page. Two copies of a three-paged document would print in the following page order: 1, 1, 2, 2, 3, 3