Music theory is a field of study that investigates the nature or mechanics of music. Many music theory studies involve identifying patterns that govern composers' techniques in an effort to better understand the compositional process.
Theory can increase your ability as a player dramatically, and since it’s always a good idea to learn more, theory is another bit of knowledge to acquire. Theory can help you work with other musicians such as keyboardists, horn players, other stringed instrument players. Theory can dramatically help you form a song, understand what other people are talking about, and learn about the basic structure of music in its “theoretical” form.
From scales, to keys, to chord formation – they all involve theory, and knowing it will help you resolve any confusion you might encounter. It also helps in communicating your music to others – mainly musicians, but yes, others.
One of the biggest problems that faces any beginner is worrying about the tremendous amount of things to practice and memorize. Even if you've been playing for 25 years you will still find new things to practice and memorize.
Like it or not, you cannot learn everything at once. No one can. But as long as you are enjoying playing you will keep practicing and you will one day wonder if there ever was a time when you didn't know the things you know now.
What you need to do is to develop a practice plan, a way to focus on a few things at once. If you haven't done so, you might want to read my piece on practicing called A Question of Balance. It might give you some help in this area.
You should definitely learn where all the notes on the fretboard are. Don't memorize the whole fretboard right off. Start with the “main frets” - the notes on the fifth and seventh frets, for instance. See, if you know what the notes are at certain point on the fretboard, you've taken away a lot of the “tremendousness” of the task. How much of a stretch would it be to then learn the third and ninth frets? You've got a third of it already down!
And you might want to start out with a simple pentatonic scale (I recommend learn the Em pentatonic (E, G, A, B, D) first since it's one of the easiest to memorize) but you should do this in such a way that it's fun. Work a practice based around some songs you like or make a tape recording of yourself playing the blues in E and then try to come up with some leads.
The more you enjoy yourself the more you will want to learn.