The importance of this passage is twofold. On the surface, it is simply that George is confessing to pulling pranks on Lennie, even one that nearly cost Lennie his life. Because Lennie would do anything George asked, it gave George a sense of superiority. Lennie was George's source of entertainment. However, the fun turned sour after the incident at the river, and we can infer that George has felt guilty since then.
In addition, this passage also serves to indirectly characterize Slim. It is important to note that Slim was the most respected and well-liked character in the book. At the start of the same paragraph, Steinbeck says that George "looked over at Slim and saw the calm, Godlike eyes fastened on him." This line, along with George's confessional tone toward him, sets Slim apart from the rest of the men and puts him at a level of reverence. He is someone the men admire and turn to for advice. Slim does not judge any of the men based on their differences, of which there are many. He is someone in whom the other men feel they can confide and gain a sense of absolution.