The winch is a great help to pull out the truck when you have stuck in the mud or when you have to get up a mountain. It can also be used to tow empty trucks or your friends out of trouble.
First enter Advanced Mode (default "V" on keyboard or "Left Bumper" on XBOX360 gamepad). Then, using mouse choose a winch point on your vehicle. After this choose the destination for the winch. It can be another vehicle or a tree. Both have to be within a certain range of the point on your vehicle. Once both points are connected use the "F" key to shorten the winch and pull yourself. Be careful though, if winch is overstressed it will cause you ~10 damage every time you try to pull.