The FAQ section has quite a few comments that are informational. The one for "Buddy List" is at the bottom of this page. I've not used it, so can't explain more than this. Hope it helps.
If someone is on your buddey list you can elect to only recieve e mails and PM's from them and the staff instead of from all of the members. Other then that I can't see any differance. If someone is on your buddey list a + sign appears after their name on your screen if they are online.