The faster you cool the wort, the better the cold break. This is where the long chain proteins flocculate and drop out of solution. the quicker you cool, the more they clump together and fall drop to the bottom of you kettle. If you cool slowly, they do not flocculate as well, stay in solution and add to off-tastes in your beer.
I agree with krispy - they are a necessity and one of the first things that I recommend people get once they have sufficient equipment to make beer.
Edit: The susceptibility to infection mentioned above is by far the most important aspect though - especially for a homebrewer.