http://en.wikipedia.org/wiki/Banked_turn
Fundamentals of Flight of the US Army (you can find it on Internet: FM 3-04.203):
7-152. An aircraft, like any moving object, requires a sideward force to make a turn. In a normal turn, this force is supplied by banking the aircraft so lift is exerted inward as well as upward. The force of lift is then separated into two components at right angles to each other. The lift acting upward combined with opposing weight is called the vertical-lift component. The horizontal-lift component (centripetal force) is the lift acting horizontally combined with opposing inertia or centrifugal force (figure 7-42). Therefore, the horizontal-lift component is the sideward force that forces the aircraft from straight flight, causing it to turn. If an aircraft is not banked, no force is present to make the turn unless rudder application causes the aircraft to skid in the turn. Likewise, if an aircraft is banked, it turns unless it is held on a constant heading with the opposite rudder. Proper control technique assumes an aircraft is turned by banking and that IN A BANKING ATTITUDE IT SHOULD BE TURNING.