This location is significant to the story because this is when Harry Potter and the Dursley's run off to the Hut on the Rock to avoid Harry's invitation to Hogwarts. Also Harry Potter is told by Hagrid that he is a wizard, and they leave to go shopping.
Hogwarts is the place where Harry meets his friends and learns about the art and craft of being a wizard. He also learns what actually happened to his parents and meets the man who killed them and who the scar on his forehead, Voldemort. Not to mention, the most significant events happen at the school.
The Dark Forest is important because that is where Harry Potter, Hagrid, and the others find out Voldemort is the one drinking the unicorn blood. Also a centaur explains to Harry who he is.