Tales of The Black Freighter is a comic within a comic; a fictional comic that exists in Watchmen's world that the reader occasionally sees panels from, telling a story that mirrors that of Ozymandias in the main story.
Black Freighter's pirate setting comes from Alan Moore and Dave Gibbons' reasoning that superheroes - the dominant mainstream comic genre in the real world - wouldn't necessarily enjoy the same commercial success in a world where people with superpowers actually existed (Please, someone tell the writers of Heroes that), and that other genres would take its place. The melodrama and grime of pirates were thought by Moore to provide a suitable counterpoint to the main story, and so poor Richard Reynolds finds himself set adrift in the sea and forced to do terrible things to survive.
While Black Freighter is in no way necessary to understand the core story of Watchmen, the fan upset over the news that it won't be included in the cinema release of the movie - it will, apparently, be included in one of the future DVD/Blu-Ray releases, and is getting released as an animated DVD in its own right at the end of this month - illustrates how central many feel it is to the overall experience of the book, adding in metatextual commentary on the main plot, as well as just being an enjoyably chilling story in its own right.