The war of Gog and Magog is an idea that is interpreted from a number of rabbinic sayings, which point to the Messiah coming only after a great war. The actual saying is "The Sole difference between the present and the Messianic days is delivery from servitude to foreign powers" (Sahnedrin 91b).
Elijah the prophet will herald in the new era, himself ending the war by bringing peace to the world.

This idea of a war between good and evil seems to have many purposes. Of course, it follows the rabbinic sayings. But also it would help us appreciate the calm after the storm, it would provide the difference between our normal, and sometimes very decent existence, to the Messianic Era which is a complete contrast to ordinary lifestyles. There is the saying, after all, "If you would endure life, be prepared for death". That is applicable here. If you realise how terrible life on Earth is compared to how life could be, only then will you appreciate the coming of the Messiah.

The war also implies a struggle for what we want, for what we feel is good. The ultimate in rewards - the coming of the Messiah - can only come if we are willing to lay down our lives for it.