Sperm cells have tails primarily for the purpose of swimming. They must move from the vagina up through the female reproductive system.
To fertilize an egg, sperm must travel a relatively long distance: they must make it into the cervix. Next, they essentially climb the sides of the uterus until they reach the fallopian tubes. The fallopian tubes are where the sperm meet the egg if fertilization is going to take place. If the woman has not ovulated recently or on the same day, the sperm die within a day or two.
The tails of sperm also help them penetrate the egg. Primarily, one sperm penetrates the egg because each one releases an enzyme that softens the egg's surface. Like most enzymes, it is a protein; it partially breaks down the outermost part of the egg, allowing a sperm to more easily break through to the center. The egg itself releases a hormone, progesterone, to make the sperm swim harder towards the center.
In most cases, only one sperm makes it through. Once a sperm has successfully entered the egg, the other sperm are pushed away from the egg where they are left to die. Considering that hundreds of millions of sperm are released each time a man ejaculates, the odds of being the one to make it to the egg are infinitesimal.