Doublethink is essential to the Party maintaining control of Oceania and also to Winston's brainwashing.
Doublethink is holding as true whatever contradictory ideas the Party says are true at any given moment. It also means the ability to instantly switch one's thoughts and beliefs to align with whatever new reality emerges from Party headquarters.
On a surface level, it's essential because chaos and confusion would ensue if people stopped and questioned what was going on in their world. For example, when the Party announces that the chocolate ration is going up when it is actually going down, if people were to say, "hey, wait a minute, none of this makes sense," it would be much more difficult for the Party to stay in control. Therefore, everyone must be terrorized into acceptance and obedience.
However, the Party's goal, as O'Brien explains to Winston, is far greater than extracting outward conformity and obedience from the people it rules. Its concept of power means forcing people to accept the Party's version of reality as reality. It means, for example, that Winston doesn't merely mouth the words "two plus two equals five" to avoid being tortured while inwardly knowing he is lying. He has to really believe what he is saying before O'Brien is satisfied. This in the end is what doublethink is: wholly giving up any pretense of thinking for oneself. The individual is dehumanized; the state thinks for every person.