The tail of lizards is an important element for locomotion and balance. These animals move by mean of undulations of their entire body axis (vertebral column), and the motions of the tail counteract those of the trunk.
In addition, most lizards are capable of autotomy, that is, they can shed their tail at need, usually when threatened by a predator or in other highly stressful conditions, and then grow a new tail.
This is achieved by means of special intravertebral fracture planes, that is, each of the autotomic vertebrae has a weak transversal plane through which it can break into two pieces. In addition, the tail muscles of the autotomic region are arranged in small "brick-like" packages that can become separated without much tissue damage; the blood vessels in the area also have the ability of closing and clotting rapidly so as to avoid excess blood loss.
Under stressful conditions, the animal will experience reflex contraction of those specialized muscles and a fragment of the tail will become separated from the rest of the body. This fragment continues to thrash and move for some minutes after autotomy, thus attracting the would-be predator while the lizard escapes to safety.
Afterwards, a new tail will grow (this can take several months, according to the metabolic rate and general conditions of the individual); but this new tail does not have real vertebrae, only a rod-like support tissue. It usually has a blunt tip and different color/texture from the original tail.
There are _no_ autotomic vertebrae inside this new stump; therefore, the next autotomy will have to occur in vertebrae that are closer to the trunk. The number of these special vertebrae is limited, so the amount of autotomies is also limited.
Autotomy is obviously advantageous as a means of escape. However, tail loss also implies a disadvantage, basically because: 1) as other users have answered, many lizards store fat supplies in the tail (although normally the basal part of the tail is not autotomic); 2)"growing back" a new tail requires more energetic resources that might have been used for other purposes; 3)until the new tail grows, locomotion may be somewhat impaired.
And I'm leaving out other (e.g. social communication) uses of the tail.
Interestingly, the tail won't grow back if the severance does not occur at the special fracture planes.