This is really an Electrical Engineering but seeing as you and I are here I'll have a go with an answer.
It is pretty well universally true that any electrical socket outlet in a domestic property intended to be used to plug in a variety of consumer appliances will have 3 connections; Line(live), Neutral & Earth. It's becoming standard practice in electrical wiring installations to call the "hot" wire the "Line" now instead of the "Live" so I will stick to that so we can get used to it if you want to read further, e.g. Wiring Regulations Handbooks, etc.
The power for the appliance is supplied via the Line and Neutral connections. The current will, under no fault conditions, be the same. If a 10 Amp supply current is flowing through the Line conductor then 10 Amps is also flowing through the Neutral conductor (for that one socket/appliance).
The purpose of the third connection, the Earth conductor, is ONLY for safety.
Specifically to reduce or eliminate the possibility of a harmful electric shock AND the possibility of an electrically ignited fire. Many domestic electrical appliances have a case made of metal, this includes items like a convector heater, a fridge, a microwave oven and so on. The case is metal for structural/design reasons (not electrical reasons). For example a plastic cased convector heater might be a very silly and dangerous idea (think about it !). IF we have a metal case it is possible, in the event of an internal fault, for the case to become electrically live and thus impart an electric shock, possibly fatal, to anyone touching it. We therefore connect the metal case to the earth wire of the socket using one separate core of the 3 core flex. The appliance is then "earthed".
Consider now what happens with a faulty appliance. Some electrical current due to the internal fault can flow through the earth wire of the electrical installation back to the source (e.g. if earth and neutral are connected at substation as you say). We can detect this current in the earth wire as a "fault condition" and trip the circuit thus removing the supply and alerting the user to the possibility of a fault. In modern type installations which include an Earth Leakage Circuit Breaker (aka RCD or RCCD) the detection of earth fault current flowing in the earth wire is very fast (< 40mS).
You should under no circumstances attempt to connect a load of any kind between a line conductor and an earth conductor. Neither should you attempt to connect a bulb or anything else across the neutral and earth conductor. In fact it can be dangerous to even use a cheap multimeter to measure voltages on your domestic electrical installation wires (they are not rated for the impulse voltages that may appear on the mains sometimes). By all means read about domestic electrical wiring systems but do not experiment on them ! I once saw someone attempt to measure the internal resistance of the mains using an AVO on the low ohms range while I was in school in the physics lab. The results were not pretty, luckily it was only the AVO that was an irrepaiable heap of black gunge not the human involved. He had a lucky escape.