Error handling is the process of handling the possibility of failure. For example, failing to read a file and then continuing to use that bad input would clearly be problematic. Noticing and explicitly managing these errors saves the rest of the program from various pitfalls.
Exceptions in Scala work the same way as in C++ or Java. When an exception occurs, say an Arithmetic Exception then the current operation is aborted, and the runtime system looks for an exception handler that can accept an Arithmetic Exception. Control resumes with the innermost such handler. If no such handler exists, the program terminates.
Or, another way to put it is, structural programming with try/catch or functional programming via monads (Option and Either).