This is a very important sense to have, in addition to the Aristotelian five senses. Close your eyes. Then grab your right earlobe or touch the heel of your left foot. How easy is that? Proprioception is basically the ability to know where your own body is situated in space, and the different body parts in relation to one another.
It is why you can be a blind pianist. I can play the piano blind pretty well (almost as well as I can with eyes open, at least!) It allows you to go up or down stairs without looking down, or drink water with your eyes closed. It is vital in many manual dexterity skills, where you don't consciously think of spatial relations but your body knows what to do (typing, driving).