Before we start building Lightning Components, let's understand the architectural differences between how Lightning Components and Salesforce Classic Visualforce work.
In a traditional Classic Salesforce UI, every time a user clicks a link, an HTML page is loaded from the server. Even for small interactions, the whole web page or tab needs to be reloaded.
Lightning Experience is based on the concept of a Single-Page Application (SPA). In SPAs, once the page is loaded, for any other subsequent request of data from the server, an Ajax callout is made and the page is re-rendered with new data. The aim is to avoid the whole page refreshing.
The following diagram helps to visualize the difference between a single-page architecture and a traditional web page rendering mechanism: