What happens the moment you connect for the first time
The very first time you connect to a new server, SSH shows you that server's host key fingerprint and asks you to confirm it before continuing -- this is how SSH defends against a man-in-the-middle attack silently swapping in an impostor server. Once you accept it, that fingerprint is saved locally, so any future mismatch (say, if someone is intercepting your connection) triggers a loud warning instead of connecting silently.
The config file that makes SSH far less tedious
Instead of typing out a long username, hostname, port, and key file every time, a ~/.ssh/config file lets you define a short alias for each server once and just type "ssh myserver" from then on. It is a small setup step that pays off quickly once you are regularly connecting to more than one or two machines.
Frequently Asked Questions
Does changing SSH's default port (22) actually make it more secure?
Changing the port does not fundamentally raise your security level, but it does cut down on automated bots that blindly scan and hammer port 22. It is only a minor, supplementary measure -- disabling password login and requiring public-key authentication matters far more.
Are SSH and a VPN the same thing?
No, they solve different problems. SSH is focused on securely accessing and tunneling to a specific server or service, while a VPN typically routes all (or most) of a device network traffic through an encrypted path -- a much broader scope.