Crude oil contains sulphur. When sulphur is burned, it produces sulphur dioxide. If this gets into the atmosphere, it can cause what is called 'acid rain'.
Acid rain is a broad term to describe the effects of acidic compounds in the atmosphere - even though they don't necessarily fall as rain. Sulphur dioxide (SO2) and nitrogen oxides (NOx - sometimes called 'nox') are released into the atmosphere when we burn fossil fuels (particularly coal). They return to earth on dry dust particles or dissolved in rain drops.
Acid rain is thought to be responsible for damaging large areas of forests and degrading the soil. It also damages materials including limestone and exposed metals.
Therefore, wherever possible, we want to remove sulphur from fuels before we burn them. There are now strict controls in the UK on sulphur and 'nox' emissions from cars. These can be met, in part, thanks to the removal of sulphur from naphtha in the refinery.