All mobile phones need a SIM in them in order to work. However some come with a SIM (from, say, Vodafone, EE or whoever) already in them and, when they do, are often 'locked' to the relevant network. That means that you can't take out the existing card and replace it with one from an alternative network (unless you pay to have the phone 'unlocked').
SIM-free phones though are sold without SIMs in them and therefore aren't locked to any particular network. So you can choose which network to use the phone with, simply by obtaining a SIM for that network.
The advantage of buying a 'locked' phone is often that the network provider will sell the phone at a discount (or even at a loss), knowing that the buyer is tied into using their services for calls, texts and data (which might be fairly expensive). The advantage of buying a SIM-free phone is that you can look for the cheapest deal on call charges, texts and data and put a SIM from the relevant supplier into your phone.