Refer to the mechanism posted on this site, if you will: http://www.chem.ucalgary.ca/courses/351/Carey5th/Ch08/ch8-10-3.html
When the alcohol attacks the sulfur center, the pi electrons in the oxygen sulfur bond are taken by the oxygen. Then pyridine sucks up the proton. Afterwards the oxygen donates those pi electrons back and the chlorine anion leaves.
Why doesn't the chlorine anion just leave? What's up with the oxygen shuffling electrons around?