A GPU is rather like a CPU (Graphics Processing Unit, vs Central Processing Unit), but while your basic processor can only perform 1 task at a time, a GPU can perform 24 or more at a time. This is to do with Pipelines, and how the graphics cards handle information.
GPU's are far advanced than a CPU though, with many more tranistors under the hood than even the latest CPU can provide.
CPU's are still needed for gaming, and quite a lot at that.
Physics being one of the general areas where a CPU is usually needed (for example with FEAR)
Though, with the GPU getting more and more pipelines under its belt, new 8000 series cards for example, running Direct X 10, have the capability to run Physics, etc within themselves, since the pipelines have been unlocked to perform other tasks, usually given to the CPU alone.
Folding @ Home
For example, have you heard of Folding @ Home?
Well, that used to be just open to CPU's, but the latest graphics processors are capable of also using this software, and folding at a faster amount than any CPU could.
Conclusion
One could not run without the other though, but the GPU is theoretically more powerful than a CPU.
A reason why in 3D Mark, when running under CPU mode, it falls rapidly behind a dedicated GPU at the tests.
We are just entering the age of the Quad processor now.
Yet, new GPU's have 128 stream processors and more... thats how fast things have changed.
Why haven't CPU's caught up you ask? Well, Windows and other operating systems wouldn't be ready to use all that processing power given to them, and where there is waste, there is heat buildup.