Double Opt In Email is basically a confirmation email sent to your new subscribers, where they click on the link provided, confirming that they are actually interested in receiving emails from you.
It has two advantages -
It helps you in creating an audience who is highly engaged and is really interested in receiving emails from you. This in turn will drive higher open and click through rates for all your emails.
It helps you in keeping your list clean by removing spam email addresses and bot signups, thus reducing the bounce rate and helping you with increased deliverability.
With the advent of GDPR and the laws revolving around collection and use of personal data continuously changing, it is recommended that you use double opt in while growing your email list.