Ferritin levels in the blood correlate well with the amount of iron available in the body's "reservoir". If ferritin levels are low, the body has very low reserves of iron. (the converse may NOT be true -- if ferritin levels are high, the body may still have low iron reserves, because there are a variety of conditions, such as inflammatory states, that can cause ferritin levels to rise)
Anemia is a condition in which the body does not have enough iron-containing red blood cells, therefore the body cannot deliver oxygen to the tissues (including the muscles, heart, and brain) as efficiently. One of the most common symptoms of anemia, not surprisingly, is fatigue.
Sometimes, iron reserves can be low, without actually causing anemia. It is like a low water reservoir: water may still be flowing into people's homes despite the water levels being low.
Here is a 2003 study from the major journal, BMJ, which shows that iron supplementation improves fatigue in non-anemic women with low ferritin:
This study, from the major medical journal Lancet in 1996, shows that iron supplementation given to non-anemic girls with low ferritin improved their verbal learning and memory:
Low ferritin levels are associated with a disease called "restless legs syndrome" (RLS), which causes discomfort and insomnia at night, and which can often give rise to a substantial reduction in quality of life. I suspect there are many milder cases of RLS which could be contributing to insomnia, and therefore contributing to resulting anxiety and mood problems. Here are some studies showing the association, and demonstrating that iron supplementation can improve RLS:
In this recent study from the Journal of Pediatric Neurology, children with ADHD and low ferritin levels showed improvement in their ADHD symptoms after receiving iron supplements:
In conclusion, I believe it is very important to evaluate ferritin levels, particularly in women, since the levels are frequently low; low ferritin is associated with fatigue, restless legs, ADHD, and reduced cognitive function. It could be a contributing factor to mood disorders and other psychiatric problems.
Usually, low ferritin levels are easily remedied by iron supplementation. Most daily multivitamins contain iron, but the amount of iron in these is usually enough only to maintain your iron stores, not to build them up. Similarly, increasing iron-rich foods in the diet will help to maintain or build iron stores, but this could take a very long time. In order to build up your iron stores more quickly, higher doses of iron salts, such as ferrous sulphate, need to be taken daily for several months.
I recommend aiming for a serum level of at least 50 micrograms / litre (50 ug/L). Many labs give a normal range starting at 20 ug/L, and therefore you may not hear from your physician if the level comes back at 25. It is important to know that the average for women is at least 50, and the average for men is about 100. Exceptions include children, whose ferritin levels are a little lower, and women in advanced stages of pregnancy, who have average ferritin levels of only about 20.
If you do have low ferritin, then further investigation could be warranted, to assess for other causes of iron deficiency (e.g. chronic blood loss from the digestive tract, from heavy menstrual flow, or from the kidneys). So your decisions on this matter should be discussed and followed-up with a primary care physician.