Keychain stores and manages all passwords on your computer. That includes e-mails (for your e-mail accounts in Mail.app for instance), websites (if you set up your web browser to remember passwords), passwords for chat clients or the password to access a wireless network.
Your keychain password is (unless you manually change it) your login password.
So when you see this window, it will also tell you (at least in the details after expanding the dialog) what applications is requesting the password). Next time, find out what app is requesting authentication (e. g. if you have downloaded a new version of your chat client, then it will ask for it!) and if you trust that app, then authenticate.