It is really dependent on what gel you are talking about, pro-run for different gels has different purpose. In some case, for instance, SDS PAGE, there may be some residue chemicals in your gel, such as TEMED or ammonium persulfate. Pre-electrophoresis will move those ahead of your samples. Some times, people put some chemicals in the gel, then the pre-run makes the chemical react with something else.
At these day, very few people would do pre-electrophoresis to SDS PAGE, but some other electrophoresis may require the pre-run. It really depends.