Email headers determine where a message is sent, and records the specific path the message follows as it passes through each mail server.
When You send an email to any of your friends or others could be your Girl friends Never mind. But When you send the email through any email client like Gmail , Yahoo Mail , Hotmail, AOL, Outlook Express, etc it also sends the Email Header which contains Some important information for Us i.e.Hackers.
Basically it is a feature of Mailing protocol.