Internal audits are one component of the "check step" in the PLAN-DO-CHECK-ACT cycle that all ISO Management System Standards are modeled after. You have already received excellent responses on why, but, as also alluded to, you should consider the how.
Unfortunately, the overwhelming majority of organizations certified out there do as little as they can, when it comes to internal audits. They don't see the value, the benefit and, because of that, they invest very little qualifying the personnel performing as internal auditors and dedicate as little time as possible when planning, performing and reporting the internal audits. So, for them, the why of internal audit is: to pass the external audit.
It has been said ad nauseum, before. If internal audits were performed in the proper way, with properly qualified, competent people, they would be one of the most effective improvement tools any organization management could think of. Sadly, for the most part, they are a waste of time, effort and opportunities.