Imagine a long line of people along the bank of a river, the Jordan River. They stand, watch, whisper to each other, each waiting their own turn. The next in line wades out to John the Baptist, publicly confesses their sins, and is then immersed under the water, symbolically freeing them of their sins.
Why were they doing this? Where did their sins go?
And the biggest question of all, why did Jesus arrive to be baptized too? He didn't have any sins to wash away. He was the only one there who was without sin, and would in fact be rendered dirty by the water of sin instead of being cleansed by it.
Jesus wasn't there to purify himself. Nor was Jesus there to set a good example. It wouldn't make sense that the Father would express such pleasure and delight in His Son just for providing the demonstration for his followers to imitate. It's bigger than that.
In this one pivotal moment, Jesus, pure and sinless, took up our sin when he was baptized. The water that symbolized washing away sin and a sign of repentance became a filthy frothy basin of sin that Jesus would bear upon his shoulders for us. Through his baptism, he initiated the act of taking away the sins of the world (John 1:29), beginning the forward motion of the divine plan.
Jesus' choice to be baptized was showing His Father his willingness to take the journey to the cross. And THIS is why the Father was so pleased with him.