When the air is full of bullets and shrapnel some good solid cover to lurk behind is always welcome. A position in cover shields troops against flying debris, shots, blasts and shrapnel, enabling them to get their heads down or crawl amongst rocks and (hopefully) avoid harm. In a battle models in or behind cover get a saving throw of 5 or 6 on a D6, or a saving throw from their own armour, whichever is better.
The great thing about cover saving throws is that they are not affected by the Armour Piercing value of the weapons firing, so troops in cover will normally get a saving throw regardless of what is firing at them.
Diagram: Cover Saving Throw — a unit of Orks sheltering behind ruined walls (getting a 5+ save for being in cover) is targeted by a Space Marine with a missile launcher firing across open ground.
EXAMPLE: A Space Marine with a missile launcher fires a frag missile (Armour Piercing 6) at a unit of troops who are using some ruined walls as cover. If the troops were Orks (save 6) they'd use the 5+ saving throw for being in cover as it is better than their armour save (which would be useless against the frag missile anyway). If the troops were Space Marines (save 3) they would get a 3+ saving throw because the frag missile doesn't pierce their armour and their own save is better than the cover save.