What are AT commands ? When to use them?
As far as I know you can configure the HC-05 module with AT commands. Sometimes you want to change the baud rate of the module, the role (master - AT+ROLE=1 /slave - AT+ROLE=1), to get module Bluetooth address(AT+ADDR?),or to reset the configuration (AT+ORGL). 
Take a look here to see how to enter in AT mode and how AT commands look like: 
http://www.linotux.ch/arduino/HC-0305_serial_module_AT_commamd_set_201104_revised.pdf