Why is it that feta cheese is often sold in liquid? Is it wrong to pour the liquid out? What exactly is the liquid?

The !Water" is brine as is used to stop the cheese drying out.

More information here: Feta - Wikipedia, the free encyclopedia

You can keep fetta wrapped in very tight plastic to make it last longer but it is always best to keep it in the brine...

I used to work in a dellicatessan and we had fetta displayed in open top tubs with the brine filled only half way so it looked "pretty"
Every 15 minutes we had to rotate the fetta and turn it upside down.

Brine is basically a salty water, it adds a slightly different flavor to the cheese and works better than plain water for keeping in the moisture.

Wow, I've never seen feta (here) in brine and I shop for cheeses a lot. :)

Don't throw the brine out. The cheese is much better if kept in it.