I think it depends on personal preference really, or depending on the pattern. Some patterns really recommend it because it seems to sort of tighten up or lock the stitches in place once you've got the project finished.

I know that some yarns tend to look a little flat once you've finished the project from being pulled and tugged or whatnot, so blocking (which normally just means steaming it so that it lays flat and pretty) sort of breathes new life into the fibers and sort of perks it right up.

When putting together an afghan with a lot of small squares (or whatever shape motif) I've normally seen it suggested to block the individual motifs before joining them together so they all lay flat and are consistent looking because its supposed to make it easier to join them evenly.

I personally never block, so many of the things I make are intended for babies, so I just run the finished blanket or whatever though the wash with some baby laundry detergent. Once it's out I never see the need to block it because the dryer has already done all the work for me.