As the name suggests, it's the default gateway for tunnelled packets. Basically when a packet comes in from a VPN client and is decrypted by the concentrator, the concentrator then looks at the destination address to see where it has to go. If the concentrator has no specific route to that destination, then it will send it to the TDG.
If you have a router inside your VPN concentrator, and the rest of your network is behind that router, just set the TDG to the router interface and VPN clients will be able to get to everything behind it, without you having to add specific static routes for every network.
