Most of the Airlines require you turn the cellular radio off when you are about the board the airplane. Airplane mode setting on your windows phone allow you to exactly that thing. It not only turn off the cellular radio but also turns off other wireless radios present inside the phone. This include 802.11n Wi-Fi and Bluetooth. So, if either of these radios were being used and then you switch to airplane mode, both of these will be turned off as well. Also, turning off the cellular radio still allows you to use other features of your phone, including watching videos and listening to music.
It is interesting to note that you can still turn the Wi-Fi and Bluetooth on later on after switching to airplane mode. However, this is something we will not suggest unless the airlines you are currently traveling in allows it. Here is how you can turn the airplane mode on or off. Go to Settings >> Airplane Mode. Turn it on or off.