All SQL queries should be properly sanitized and there are various ways of doing it.
You need to prevent the user from trying to exploit your code using SQL Injection.
Injections can be made in various ways, for example through user input, server variables and cookie modifications.
Given a query like:
"SELECT * FROM tablename WHERE username= <user input> "
If the user input is not escaped, the user could do something like
' or '1'='1
Executing the query with this input will actually make it always true, possibly exposing sensitive data to the attacker. But there are many other, much worse scenarios injection can be used for.
You should take a look at the OWASP SQL Injection Guide. They have a nice overview of how to prevent those situations and various ways of dealing with it.