A GUID, or globally unique identifier, is a number that Microsoft guarantees is unique throughout the entire world. It is best used when you need a primary key that is absolutely, positively unique, and you have distributed systems in which data is entered.
For example, if you have a mobile sales force that uses laptop computers to enter sales orders and customers in the field, then uploads that data to a central system, simply assigning incremental integer values in the field will cause multiple laptops submitting identical key values. If, instead, the laptop programs generated a GUID, then you can be assured that even when the data is combined with data from other users from around the world each record's key (the GUID) will be unique.
Downside to using GUIDs: besides making an API call, GUIDs consume 36 bytes of storage - much larger than an integer. Therefore, they should only be used where you need to ensure unique values across a distributed system, or believe that someday you may be joining data from currently separate systems.