To boil it down, this setting depends on the type of TV you are connecting the player to. If you have a wide screen HDTV, you can use the Full setting to display videos or movies that are formatted for a standard square (4:3) screen and render that picture to fill the wide screen of your TV.
If you use the Normal setting, and play back a movie (for instance, from a DVD) that is formatted for the older 4:3 screen size, you will see a square picture in the center of your wide-screen HDTV, with black bars on either side of the picture. The Full setting will get rid of those bars, providing your HDTV supports the Full screen picture setting.
For playback of any movies or videos which are formatted for wide-screen HDTV, you don't need the Full setting, since the picture from a wide-screen formatted movie will fill your HDTV screen, anyway.