All running shoes come with stock insoles—you can see yours by peeling it out of your shoes—that typically add another millimeter or two of cushioning. But aftermarket insoles give you more options.
The insoles you can buy separately from your shoes give you different attributes than the stock insole. Some shoe inserts are rigid and supportive, and they’re shaped to influence your foot by providing arch support or other structure. Other insoles give you more cushioning in high-impact areas, like your heel.