Exploring your new planet should be one of your biggest priorities right after planetfall. Exploring the land surrounding your base will allow you to survey your environment so you may adapt your strategy to it. Building at least 1 additional explorer early on and insuring you restock their expedition modules often will allow you to get to many resource pods and expedition sites, obtaining powerful boosts to your colony and denying them to your opponents. Exploring your surroundings will also allow you to plan out your expansions, assess alien and player threats and adapt your strategy to the terrain around you.
Exploring isn't without risks though! The planet is a very dangerous place and your explorers are the meekest units on it. In your travels you will meet a lot of aliens, all of which are much more powerful than your explorer. While they've been known to randomly attack units on a whim aliens will generally ignore you unless provoked. Be careful when exploring heavily forested areas because this is where alien nests are usually found and ending your turn within 2 tiles from it will enrage the aliens. To avoid running into one try walking up hills to get a better view of your surroundings.
Lastly another big hazard to your whole colony is miasma. Miasma will initially deal 10 damage to any of your units that begins their turn in it, including your workers and explorers. It will also heal any aliens within it and create alien nests atop xenomass resources if it isn't cleared. If an expedition site is located under Miasma make sure your explorer unit has enough health to complete the expedition without dying.