Classification of nilpotent Lie algebras in characteristic 0 is an old problem,
with a lot of literature. For the dimensions up to 6 there is a finite list.
Among the many relevant papers on MathSciNet, I'll list just a few:
MR2372566 (2009a:17027) 17B50 (17B20 17B30)
Strade, H. (D-HAMBMI)
Lie algebras of small dimension.
Lie algebras, vertex operator algebras and their applications, 233–265, Contemp. Math., 442,
Amer. Math. Soc., Providence, RI, 2007.
MR0498734 (58 #16802) 17B30
Skjelbred, Tor; Sund, Terje
Sur la classification des alg`ebres de Lie nilpotentes. (French. English summary)
C. R. Acad. Sci. Paris S´er. A-B 286 (1978), no. 5, A241–A242.
MR855573 (87k:17012) 17B30
Magnin, L. (F-DJON-P)
Sur les alg`ebres de Lie nilpotentes de dimension 7. (French. English summary) [Nilpotent
Lie algebras of dimension 7]
J. Geom. Phys. 3 (1986), no. 1, 119–144.
MR1737529 (2001i:17010) 17B30 (17B05)
Tsagas, Gr. (GR-THESS-DMP)
Classification of nilpotent Lie algebras of dimension eight.
J. Inst. Math. Comput. Sci. Math. Ser. 12 (1999), no. 3, 179–183.
EDIT: This is a somewhat random sample (I'm not a specialist), but these papers recall results
for low dimensions and have many references to older literature. The reviews in Math
Reviews (MathSciNet) are helpful to look at, if you have access.
There is also a fairly
modern book, which is very high-priced and probably difficult to access:
MR1383588 (97e:17017)
Goze, Michel(F-HALS); Khakimdjanov, Yusupdjan(UZ-AOS)
Nilpotent Lie algebras.
Mathematics and its Applications, 361. Kluwer Academic Publishers Group, Dordrecht, 1996. xvi+336 pp. ISBN: 0-7923-3932-0
17B30 (17-02 17B40 17B56)
Here is a brief answer: Lie groups provide a way to express the concept of a continuous family of symmetries for geometric objects. Most, if not all, of differential geometry centers around this. By differentiating the Lie group action, you get a Lie algebra action, which is a linearization of the group action. As a linear object, a Lie algebra is often a lot easier to work with than working directly with the corresponding Lie group.
Whenever you do different kinds of differential geometry (Riemannian, Kahler, symplectic, etc.), there is always a Lie group and algebra lurking around either explicitly or implicitly.
It is possible to learn each particular specific geometry and work with the specific Lie group and algebra without learning anything about the general theory. However, it can be extremely useful to know the general theory and find common techniques that apply to different types of geometric structures.
Moreover, the general theory of Lie groups and algebras leads to a rich assortment of important explicit examples of geometric objects.
I consider Lie groups and algebras to be near or at the center of the mathematical universe and among the most important and useful mathematical objects I know. As far as I can tell, they play central roles in most other fields of mathematics and not just differential geometry.
ADDED: I have to say that I understand why this question needed to be asked. I don't think we introduce Lie groups and algebras properly to our students. They are missing from most if not all of the basic courses. Except for the orthogonal and possibly the unitary group, they are not mentioned much in differential geometry courses. They are too often introduced to students in a separate Lie group and algebra course, where everything is discussed too abstractly and too isolated from other subjects for my taste.
Best Answer
There are already uncountably many isomorphism classes of $3$-dimensional real Lie algebras. In fact, there are $1$-parameter families of $3$-dimensional solvable Lie algebras. The classification has been done over an arbitrary field. For references see the paper of Willem A. de Graaf, and the book of Jacobson on Lie algebras, chapter $1$, section $4$.