Answer:
The turbo increases the pressure of the air entering the engine, so that there is more oxygen inside the cylinder when the spark plug ignites it - and the piston is pushed down with more force therefore delivering more power. But when you take your foot off the accelerator, if there is no blow-off valve is fitted, when the throttle valve is closed this highly pressurised air has nowhere to go, producing a shock wave which is sent right back through the turbine (known as a compressor surge) potentially causing engine damage.
Aftermarket-installed turbos are designed to give the distinctive hissing sound, but purely for show. Most factory high-performance cars keep their turbo feature quite subtle - mostly without the hiss produced. (A turbo you buy from an aftermarket dealer will always have some sort of blow-off valve with it - it depends on the manufacturer if this produces the 'hiss')