Associating connects entities together so that content will display in certain ways.
Simple examples include associating images and assets with pages. Associating images with a page will allow the images to show up on the page. Associating an asset with a page will allow a link to the asset to show up on the page.
Associating entities together follows roughly the same process across all content types. Edit the entity you would like to associate with another, and in the left sidebar column there are links that allow you to associate it with different content types. Click the associating link you'd like to use, and select an entity from the list.
There are multiple ways to connect entities together. You can often make an attachment starting from either of the two entities you want to attach to each other. For example, you can attach a blurb to a page while editing the blurb, OR while editing the page.
You can add new entities while associating entities. What? Yeah, this is best explained via example. Let's say you've just created a page, and you want to associate an image to the page. However, you haven't yet uploaded the image into Reason. When you click Place images on the page in the sidebar, you can then click the Add Image link and add a new image to your site. When you finish adding the image, it will be automatically attached to your page.