Think of all the moving parts in your engine. Specifically the most important to have pressure, the point where the rods swing on the crankshaft, and where the crankshaft swings where it's held in the block. What oil pressure does, is create a buffer between the crank and the bearings. Remember that the crank is just slightly smaller than the bearings it sits in. By having pressure in the oil that is in that small space, it keeps the parts from touching (hopefully). Just oil being there isn't enough in places like that. It needs to keep the crank centered in the passage. If oil pressure drops too low, the crank will contact the bearings. Shortly after, bearing failure. After that, the crank is ruined. Then funny noises, and eventual engine seize up. That's why oil pressure is so important.
You know that little red oil light on the left (along with the trac light) that comes on when you start the car? Thats an oil pressure warning light. So if you see that while driving, your oil pressure is low. I don't know how the ECU decides when to turn the light on though, probably has an oil pressure/rpm map.
Our engines don't have an oil starvation problems with high-G cornering, so it may not be worth it to get a gauge.