Is Kaliningrad important for Russia?

In the beginning, I asked myself what was that territory between Poland and Lithuania, because it wasn't named at all (at least in some maps). I've been searching for answers and I concluded today that it's part of the Russian Federation. Well, the big question is: Why haven't Russia abandoned yet this small territory? Does it play a strategic role in Russian Economy? I've heard that it's the only Russian port that doesn't freeze in the whole year. But why maintaining it after the fall of the Soviet Union? Why haven't the local population did something? I want a good answer, where you explain why it's important for Russia and what would happen if it was conquered by Poland, Lithuania or Germany (remember World War I? They controlled that zone, in order to control the Polish. Then, if they controlled that land barrier, Poland would crash economically, thus submitting itself to the Germans ).