When a SEM is used, the column and sample must always be at vacuum. A vacuum environment means that most of the air molecules have been removed from the inside of the microscope. You can think of vacuum as a density; there are a certain number of gas molecules in a given space. If you think of the total number of people in the United States (240 million) as representing normal atmospheric pressure, then the density of gas molecules in a typical SEM is roughly equivalent to having only one person inhabit the entire United States!
There are many reasons for requiring a vacuum in an SEM. If the filament were surrounded by air, it would quickly burn out, like a light bulb. If the column were full of air, the electrons would collide with the gas molecules and never reach the sample. If gas molecules react with the sample different compounds could form and condense on the sample. This can lower the quality of the image.
A vacuum environment is also necessary in part of the sample preparation. One such example is the sputter coater.