When you buy a domain only, you own a domain name only. The way our internet work is based on numeral IP's ( eg: 192.168.1.1). When you type in ,say, yahoo.ca or google.ca, your browser/application doesn't understand those hostnames. It can only understand numeral IP's. This is where the DNS service comes in use.
A DNS server takes the host and converts it to an IP and then connect to the target server.
Have a look
here to better understand it.
Now to answer your question, when you buy a domain from Godaddy or any other domain provider, most of them allow you to use their dns server to make your domain point to somewhere. Zonedit is a 3rd party organization that provides you dns services for your domain in case your not too happy with Godaddy DNS servers. Earlier years, most domain registrars used to charge for providing DNS service and even if they did offer it for free, they wouldn't let you edit your DNS records with advanced editing features ( thats when you use 3rdparty providers). These days, most domain registrars offer nice gui for managing your DNS records.
Bottom line: Depending on what you are trying to do, if you are just buying a domain and gonna point to a webhosting acct, using godaddy DNS server is more than sufficient