All it does is send a little message to the person saying they've been poked. And then they can 'poke' back if they want.
I think the general purpose of this, at least in the beginning, was to kind of say hi to friends that you haven't added yet, let them know your on facebook and that you should become friends on facebook as well. Nowadays, its used for anything. It's just a little thing fun that facebook decided to have on their website. It doesn't affect anything else on the site.

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