Here's a simple explanation. A phono stage is needed to boost the relatively low voltage signal (about 0.3 - 3.0 mV) from a phono cartridge up to what is considered a line-level signal (about 100 - 200 mV). I don't remember all of the numbers but it takes about 40 to 70 dBs of gain, depending whether the cartridge is MM or MC, to boost the signal from a phono cartridge to a resonable level that most people can listen to confortably. So the phono stage is a pre-amplifier. Most pre-amps these days do not have a built-in phono stage and even those that do have one do not always have a very good one. The remedy is to use an external phono stage.
Perhaps a dumb question...
What exactly does a phono preamp do? Remove noise? Clear up dynamics? What is the purpose? I've noticed even my school's relatively cheap listening rooms uses a very basic phono preamp, I'm just interested in what exactly the effect of it is that makes it worth spending money?