There are quite a number of frequency responses depending on what you take as the excitation and the response. You normally plot the frequency response of a transfer function (which equals the ratio of response/excitation).
One important use of the frequency response is to figure out if a closed-loop system is stable or not. For this we use the loop gain frequency response. From the loop gain transfer function, we look at things like the phase margin and gain margin which will tell us if the closed loop system is stable or not. And if the system is stable, it will tell us how far away we are from being unstable.
If you search the EDAboard for "Bode" "phase margin" and "gain margin", you will find a number of discussions on these topics.
Best regards,
v_c