MSM is a chemical found in plants that also occurs naturally in our bodies. You can buy it as a powder or a pill. I take it because I think it speeds recovery after a tough workout and helps relieve joint and muscle pain.
The bottom line is to try different things and find what works for you. And don't just go for the cheapest version. There's no compromise for quality. If you're putting something into your body every day, it should be the best.