SmileySnoutKneading — sometimes called "making biscuits" — is one of the most recognizable cat behaviors. It starts in kittenhood as a way to stimulate milk flow while nursing.
Comfort and contentment
Adult cats often knead when relaxed, on a soft blanket or your lap, as a leftover comfort behavior from kittenhood.
Scent marking
Cats have scent glands in their paws, so kneading can also be a way of marking territory as "theirs."