You can put heaters, protein skimmer, a refugium (place for growing macroalgae, copepods, and other good stuff), algae scrubber, uv sterilizer, phosphate reactor, carbon reactor, calcium reactor, automatic top off system, etc. ad nauseum. Do you need all those things to run a saltwater aquarium? Nope! Do people use all those things? Yup! Any and all of them are helpful to running a saltwater aquarium, but not strictly necessary (except the heaters, of course). You can choose to use some and not others.
Either way, a sump is exactly what LilFish said: a tank (usually smaller than the display) located under the display (usually; some people plumb through a wall to another room and have everything located there) that is a convenient place to put extra equipment that you don't want cluttering up the main tank.