The netlogon directory share is created automatically on the servers that require it as part of the dcpromo activity. It is actually mapped to the sysvol directory on each dc and is part of the replication system that takes place within active directory. Beacause the logon scripts are held within here, they are replicated also as part of that process so regardless of which dc is used to authenticate a user etc the logon script will be available.
You have the option of course of putting a logon script anywhere you like. It doesn't have to be kept in the netlogon directory at all however, if you put it elsewhere then that location must always be available. ie if you put it on a share called \\server1\logons then \\server1 must always be available for the logon scripts to be found. By placing it in the netlogon share it gets replicated to every dc so even if \\server1 went down, the logons would still be available from \\server2, \\server3 etc.
As mentioned above, the actually name of netlogon is a hangover from the NT4 days. Whilst it is still mapped to the scripts directory as it always has been, many people now use the AD group policies for their scripts so again, it is replivated around the domain.