Here's, an attack scenario. Other's might want to contribute some more.
Your application accesses a URL. At some point along the way (any intermediate network hop), an attacker could position himself as a "man-in-the-middle", that is, he would pretend to be a "proxy" for your communication, being able to read everything that goes through, and even modifying it on the way: the attacker could act on behalf of the user, mislead him as to what information he gets, and basically access al data being transferred.
Enter SSL: your client receives a certificate from the server, with a valid key (Signed by a known certification authority, or present in your keystore). The server will then sign and encrypt all it sends using that key. If an attacker where to place himself in the middle, he would not be able to read the data (it's encrypted) or modify it (it's signed, and modification would break the signature). He could still block communications altogether, but that's another story.
So that's that... if you ignore your keystore, you can't verify any server side certificate, and you open the door to man-in-the-middle attacks.
Thank you Miguel and user384706, both you answers were helpful and I am now able to conclude that I need the keystore. If I do manage to place the keystore inside of the JAR file though, will it ever need updating? I only ask because I know that SSL Certificates need renewing, but I don't know if renewing them will effect the information in the keystore...
@Andy: You will have to update it if the service provider's public key changes, this depends on your key provider's policies. You should be prepared for this... at least discuss it with the provider.
@home okay, but otherwise I shouldn't need to, yes?
@Andy: it depends, in general public keys have an expiration date. If you open the certificate (public key) you should be able to see that value.