A lined jacket has more weight to it. The extra layer of cloth helps pull the suit firmly onto your shoulders, making it fall smoothly downwards.
Lining also provides protection for the inside of the jacket. Not only does it help absorb any sweat you might generate (reducing the need for frequent dry cleaning), it also provides another layer of cloth to stretch when your body moves. This reduces the amount of tugging on the actual suit material, extending its lifespan.
Interior pocket styles are able to be sewn into the lining. Unlined jackets lack such pockets, and sometimes require the somewhat informal patch-style pockets on the outside.
What is the lining made of?
There are 2 general groups — natural and synthetic. The former comprises mostly of silk and is often found at high-end bespoke companies. The latter is what is commonly found in suits.
Possible synthetic materials include:
Bemberg Silk
Rayon
Polyester
Acetate
Each material has its certain desirable qualities and also some cons. For example:
Silk linings are perhaps the most comfortable to wear, but also more expensive than synthetic linings.
Bemberg Silk is a high-quality synthetic material that is less costly than natural silk, but more expensive than other synthetics.
Acetate is a crisp fabric, but lacks durability.
Rayon lasts longer than acetate, but not as long as polyester.
Linings made from polyester last long, but do not breathe well.
Every material has its own advantage; usually, off-the-rack suit-makers will use lower-end synthetic materials because it costs less for them. With bespoke services, you are in control and have the ability to request synthetic linings or luxurious silks: the choice is yours.