Why is the halogenation of an alcohol a multistep process? Refer to the mechanism posted on this site, if you will: http://www.chem.ucalgary.ca/courses/351/Carey5th/Ch08/ch8-10-3.html

When the alcohol attacks the sulfur center, the pi electrons in the oxygen sulfur bond are taken by the oxygen. Then pyridine sucks up the proton. Afterwards the oxygen donates those pi electrons back and the chlorine anion leaves.

Why doesn't the chlorine anion just leave? What's up with the oxygen shuffling electrons around?
If the chlorine left straight away I.e after step 1 in the mechanism you linked to then you would have three charges on the structure - charges on two oxygens and a charge on sulfur. Doesn't seem too stable to me. 

Instead what happens after step 1 is a proton transfer. Proton transfers are generally rapid. This proton transfer is also thermodynamically favored as it relieves the oxygen of its positive formal charge.