You don't HAVE to... but IMO it is a very positive addition to any setup. It improves the tanks biological filtration, provides natural hiding places for your critters, and looks very nice especially after it is well established and has good growth. In general it will improve the quality of life for your tank inhabitants.
It is expensive from the outlay, but if you get 50-60 pounds of base rock and seed it with 20-30 pounds of live rock it doesn't cost very much in the long run (change those numbers depending on how much rock you want and your tank size of course).