A doser is like a reservoir to store ground coffee that sits between the grinder and the outlet. It has a mechanism which allows you to deposit (or dose) exactly the same amount of ground coffee into the basket each time. Theyre particularly useful in a busy cafe setting because you dont have to wait for the coffee to be ground before each shot - just dose and brew. The doser sometimes helps to remove static electricity that sometimes builds up in the grinding process, but that depends a lot on the model. Doserless models are sometimes more popular for purists because dosers often leave some coffee behind, meaning you get a bit of last grinds coffee in your fresh grind; that said there are ways around this problem, but a doserless grinder is probably still better in that regard as theres ultimatley less bits for old coffee and oils to collect on. Also, its one less thing to break if you dont have a doser, and they tend to be a little cheaper (others can probably expand on the pros and cons).
Rocky is the most common grinder made by Rancilio. You can search the grinders forum to read all about it. It comes with or without a doser.
From my memory of other posts, the Gaggia MDF tends to be pretty bad with static so its more likely to make a mess than, say, a Rocky or a Mazzer. Others could confirm or deny this.