"You can't direct the wind, but you can adjust your sails."
Sailing confers multiple benefits. It allows you to train the Galley unit, which is useful for early exploration, and enables trade along coasts and rivers, increasing your commerce. In addition, Sailing allows the Lighthouse and Moai Statues national wonder to be built. These improve a city's growth and production respectively.
The first sails were probably just a square sheet of animal skin hung from a horizontal pole, while later woven cloths were stretched between poles. While this does allow sailing, there are several problems with these designs. First, the boat can only sail downwind, meaning movement is only possible in the direction the wind is blowing; secondly, this only allows the boat to travel at the speed of the wind. Sail design evolved slowly over the centuries, and eventually the concepts of tacking and trimming started to be understood, allowing sailing to be against the wind and faster than the wind speed. These advancements enabled the exploration and settlement of far off lands, as ships were able to return from uncharted waters.