Delivery is what anchors a futures price to reality. Because a short can always deliver and a long can always demand delivery, the futures price must converge to the cash price at expiry.
Very few contracts actually go to delivery — commonly under 1% of open-interest — but the option to deliver does the work. Retail brokers do not permit it and will liquidate you first.
Example: one CL contract delivers 1,000 barrels of light sweet crude at cushing, Oklahoma, through the delivery month. One gc contract delivers 100 troy ounces of 995-fine gold from an approved COMEX vault.
Related: cash-settlement, convergence, delivery-notice, deliverable-grade, first-notice-day