While Darius the Great ordered a number of canals to be built, the canal that is most famous is the ancient forerunner of the Suez Canal. This was a canal that connected the Red Sea to the Mediterranean. It did not run along the same course that the modern Suez Canal does, but it served the same function.
We must note, however, that this canal is not universally attributed to Darius. It is believed to have been started by pharaohs who reigned before Darius. It is sometimes said to have been completed during his rule, but some historians believe that it was not. There is no way of knowing at this point whether the canal truly should be attributed to him.
The canal was important for the same reason that the modern Suez Canal is important. This canal allowed trade to go directly from the Indian Ocean to the Red Sea and up into the Mediterranean. This meant that goods from places like Arabia, Persia, and India could travel by sea to the Mediterranean instead of having to go by land. This was a very important boost to trade.