He that hath no rule over his own spirit is like a city that is broken down, and without walls.
Self-control is one part of the fruit of the Holy Spirit (Gal 5:22-23), so exercising it means reflecting the Spirit of God. Throughout the Bible, there are lists of attributes describing godly men and women, and most of them include the faith-filled trait of self-control.
To exercise self-control is to discipline ourselves, set boundaries, and rule over our actions. A lack of self-control, then, leads to the free reign of fleshly, worldly patterns that end up exercising control over us.
When we exercise self-control, we pursue a holy life that is glorifying to the Lord who made us in his image, redeemed us through his gospel, and gave his indwelling Spirit to live within us.