The Holy Spirit is God Himself, as He is at work in our hearts and in the world. Although He is a spiritual being and therefore isn't visible, the Holy Spirit is powerful and constantly at work. He isn't just an impersonal force or power; He is fully God (which, incidentally, is why we shouldn't refer to the Holy Spirit as "it" but as "He" or "Him").
Why did God send His Spirit into the world? Think of it this way: Where would we be without Him? We'd be living in a world that God had abandoned, and we'd never know the comfort of God's presence or the joy of His peace. Nor would we be convicted of our sins, or urged in our hearts to put our faith and trust in Christ. To put it another way, Satan would have complete control over our lives and our world -- and that's a terrible thought.
But God hasn't abandoned us! When you came to Christ and gave your life to Him, God came to live within you by His Spirit (see Romans 8:9). And His Spirit is constantly at work, restraining evil and bringing peace and joy to our hearts. He also gives us strength in the midst of our temptations and struggles. The Bible says, "The Spirit helps us in our weakness" (Romans 8:26).
Is He more important than Jesus? No -- because even now Jesus is praying for us, and the Holy Spirit has come to turn our hearts to Jesus, not Himself. Every day, ask God to help you by His Spirit -- and He will, as you submit your life to His control.