There's a few parts of most electric guitar bridges that move about, mainly the saddles (back + forth) and the grub screws to adjust the height (depending on the type of bridge). So when you'r strumming you're making the strings vibrate and the vibrations transmit into the bridge. If any of the movable bits are loose, they rattle in sympathy with the string vibrations, which makes a buzzing noise. Generally this is annoying if it's audible, and can also mean your screws are unscrewing themselves, so your action / intonation can move without you wanting it to. This messes with the sound of your guitar, so it's bad.
Remedying the problem depends on the type of bridge. There's some good tips on setting up jag and jazzmaster bridges elsewhere on this site that you can read for background. I didn't think SG (tune-o-matic) bridges were prone to buzzing. I would hazard a guess that the buzz must come from the saddles vibrating on their adjustment screws but that's only a guess. Can you tell what exactly is buzzing?
