Simply put, the underlayment serves as an important protective barrier for your pond liner. An underlayment is installed after you've dug out your pond and before you lay the liner. Its primary purpose is to prevent any punctures that may occur from rough or rocky ground, or even errant tree roots. It should also allow the ground to breathe from underneath.
Professional installers and many hobbyists will use a special non-woven fabric for pond liner underlayment. This fabric is referred to as "geotextile". Basically, this means it is a permeable fabric which is meant to be used in association with soil.