You'll always be able to jump back to Perinn, the town on the first level in the labyrinth that you start out in. Otherwise, you will only be able to jump to towns that you already have characters in. (This is why this option isn't available to you at first: you start out not having any characters anywhere but in Perinn.)

Normally, town jumping is probably not an important thing to do. It allows you to work with two or more parties concurrently, if you so desire, but normally you would only be working with one. However, if utter disaster strikes, town jumping might be critical. For example, what if your characters all die and are taken back to a town mid-way through the dungeon, and you don't have enough money to resurrect your characters, even by selling off equipment? The thing to do would be to create a band of new characters, get them out to collect gold, then use that money to resurrect your original characters. But if you create them in that mid-level town, they'll be up against monsters that new characters couldn't hope to face alone.

Instead, you can jump back to Perinn, create new characters there, and build them up enough to be able to reach that deeper town. Then you could use the money they bring with them to resurrect your original characters. For that matter, you could pick the best characters from the two parties, combine equipment, and start adventuring again with an even better party than before. The characters left behind would be available from that mid-level town should the main party need rescuing again, deeper down.

Of course, this sounds like a terrible ordeal to recover from defeat in the labyrinth, but this only serves to illustrate why good strategy is important. It's extremely important to avoid taking risks that could get your whole party killed if you can't raise the money to get them resurrected. Normally, by the time your party gets advanced enough to find other towns, they have the equipment on them, if not the gold, to sell and raise money for resurrection, but if they need resurrecting too many times in a row, before their wealth can be recouped from the last time, they might indeed encounter a situation like the above. So if you're low on cash, be extra careful until the money supply is replenished.