Sway bars are also called anti-sway bars or anti-roll bars.
Their purpose in life is to try to keep the vehicle's body from "rolling" in
a sharp turn. Body roll puts more weight on the outside tires and less weigh
on the inside tires, reducing traction. You want the vehicle to remain
flat through a turn so that the weight stays distributed evenly on all four
tires.
The RZR comes from the factory with a sway bar in the
front and rear.
I have the iTi Motorsports sway bars on my Kawasaki Teryx
and felt that they made a nice difference to how it cornered. I have
Fireball Racing +6" long travel
suspension on my Polaris RZR, so I figured I should upgrade it as well.