An oil furnace nozzle atomizes the oil so it can ignite. The furnace forces the fuel into the nozzle with more than 100 pounds of pressure, and then it sprays out the other side as a vapor.
Oil does not burn in liquid form. The vapor is what ignites, so the nozzle is imperative to the function of the furnace. An efficient nozzle that completely atomizes the oil results in a furnace with cleaner, more efficient combustion. If the nozzle does not have enough pressure and lets some liquid oil through, combustion still happens but results in more soot, which can clog up the furnace.