Two primary reasons are given for reading the Book of Jonah as the haftorah of the Yom Kippur afternoon services:

a) The story of Jonah teaches us how no one is beyond the reach of G‑d's hand. Just as Jonah's endeavor to escape G‑d's providence was unsuccessful, so, too, we are incapable of eluding divine justice for transgressions we may have committed.

b) On a more uplifting note: G‑d spared the people of Nineveh although He had already decreed that they would be destroyed because of their evil ways. This teaches us that no matter our past behavior, G‑d's benevolence and mercy awaits us if we only repent full-heartedly.

Click here for a wonderful article which delves into the allegory in the story of Jonah.

Yours truly,

Rabbi Menachem Posner