It shows that a man's pride and reputation is something that each man will defend vehemently. When the heckler suggests that perhaps Odysseus is not much of an athlete, Odysseus immediately stands to defend his honor and demonstrate his skill. This also illustrates the importance given to athletic prowess in this society. (Don't forget about the importance of the Olympics to the ancient Greeks!)
I think the heckler you are referring to is Euryalus who insults Odysseus when he declines to take part in the games. Euryalus, who does not yet know his identity, insinuates that Odysseus has no understanding of manliness and sportsmanship. Odysseus in angered by this and then throws the discus further than anyone else and challenges all to take him on in any event. Alcinoos steps in and calms everyone down. The incident shows how important words and reputation as well as physical prowess were to the Greeks. Euryalus takes a polite refusal to play by Odysseus as an admission of weakness which he has to mention. Odysseus takes his words and accusation very seriously and is quite angry. The situation could have easily ended in a very ugly fight save for Alcinoos wise intervention.