There are many times where returning all the data held within all the columns in a table are unnecessary and inefficient.
For example.
SELECT * FROM HumanResources.Department
If you expand out the HumanResources.Department then you will get a list of the columns as well as some information on the columns.
To get only the DepartmentID and Name columns the following query would be needed.
SELECT DepartmentID,Name FROM HumanResources.Department