I know what \"thread\" means and if I understand the event dispatching thread (EDT) as \"just a thread\", it explains a lot but, apparently, it does not explain everything.
What is the EDT?
It's a hacky workaround around the great many concurrency issues that the Swing API has ;)
Seriously, a lot of Swing components are not "thread safe" (some famous programmers went as far as calling Swing "thread hostile"). By having a unique thread where all updates are made to this thread-hostile components you're dodging a lot of potential concurrency issues. In addition to that, you're also guaranteed that it shall run the Runnable that you pass through it using invokeLater in a sequential order.
Note that it's not just that you're dodging the concurrency issue: you must respect Sun's guidelines regarding what must and what must not be done on the EDT or you'll have serious problems in your application.
Another benefit is that some Swing components tend to throw unwanted exceptions and when this happen they're automagically dealt with and won't crash the EDT (AFAIK if you really manage to kill the EDT it is automagically restarted).
In other words: you don't have to deal with all the broken Swing components and the exceptions they throw yourself: the EDT is taking care of that (just take a look at the countless Swing bugs throwing exceptions in Sun's bug parade, it's fascinating... And yet most apps keep working normally).
Also, by doing only what's mandatory in the EDT allows the GUI of your app to stay "responsive" even tough there may be tasks running in the background.