When something implodes, it explodes inward — instead of outward. With extremely large buildings, it helps to implode them rather than explode them, because by falling inward they take up less space.
Why bother to have a word like implode when you already have explode? Well, imagine there is something deep beneath the sea, being subjected to the intense pressure there. If the pressure is high enough that the object bursts, it would collapse in rather than out. It would, in fact, implode. People also sometimes use implode to describe a person subjected to intense pressures who, emotionally at least, bursts inward: "All that stress just made Jess implode."