A little background is required to understand this.  There was a debate about this tax.  Some held it required, some thought it voluntary.  It was originally for the support of the Tabernacle, and was collected from the first born of Israel.  It is now used for the successor to the Tabernacle, the Temple.  So the question was probably not one given in anger.
Note, however, that those collecting approach Peter.  Many rabbis of this time held themselves exempt from this tax by virtue of their work, and certainly the greatness of the works of Jesus should cause anyone to be in awe.  So they approach Peter--and Peter does not check with the Boss.
No matter;  the Boss knows what's going on.  He knows what Peter has said, and uses it as an occasion to teach Peter just who is being taxed.  Jesus wants Peter to see two specific points:

• First, as the only begotten Son of God, he is exempt from any tax paid to God.  (This particular tax is explicitly declared to be paid to God).  By virtue of who he truly is, he should not have to pay this tax.
  
• But--so that the tax collectors will not be offended, or caused to stumble in their service to God--it is permitted to pay it, for their sake.
  

• As the children of God, we are free from the rules and regulations mode of religion.
  
• But--in our care for others--we may choose to follow such regulations, for their sake.
  
• And like Peter, when our Lord tells us to go fishing (admire the man's faith, please), we should go.  By saying, "first fish," our Lord tells Peter he will catch more than one.