Passwords can be compromised in a variety of ways. Users who have the same password in use for multiple services put themselves at increased risk because it only takes one of those services to be compromised for their other accounts to be vulnerable.
Phishing attacks and other malicious tactics are also frequently targeted at services like PSN. With 2 factor authentication you can add an extra layer of security so that even if your password has been stolen, the login process cannot be completed without an additional code sent to your phone.
To activate 2 step verification on PSN, check this link.