If the thermostat wasn't there, the coolant would flow all the time. When most thermostats fail they open up so the engine is protected (although your heater won't work and your mileage will stink). Occasionally they freeze closed in which case you need to stop the car before it overheats. All the ones I've had to replace have failed in the open position which required a very cold drive to the parts store (why do they always fail in the winter?).
Well damn. I guess I rode with the heat on high from Florida to Georgia for no good reason! LOL