As long as you stay in the light given off by the Crawler, a vehicle that will accompany you on your spelunk and plot a path through the branching tunnels, then you'll be fine, but step out of the light and you'll start taking serious damage, and risk being ambushed by enemies. The thing is, the best loot is in the darkness, teasing you with its faint glint, so you're constantly balancing risk and reward.
Delve is a temporary challenge league, which means you'll start with a brand new character who has several months to explore it before the next expansion launches. It's built into the core game, and to power the Crawler you'll have to find veins of Voltaxic Sulphite in the main story. Grab a little bit for a quick session, or horde loads for an extended dungeon run.
The Crawler will speed up or slow down to match your pace, so you don't have to worry too much about it rushing ahead, and once it reaches the end of that section of map you'll have a boss battle, after which the path you've taken will be lit up. You can then run back and forth along it in safety, venturing out into the darkness if you spot something particularly shiny.
You can upgrade the Crawler as you progress, and you'll hit different biomes, each of which will offer specific loot. You'll use new socketable currency and crafting items, and play around with new skills. Essentially, there are loads of reasons to play it, and you can read about all of them in Steven's extended preview here (opens in new tab). And, like the rest of the game, it's completely free.