It can be very important, especially if there are pages that you would not want to be crawled (there are other methods to prevent pages from being crawled as well). It also helps the search engines more easily crawl your site, which is good. Also, it will speed up the indexing of your pages, especially the pages that are really deep in your site.
Sitemap informs Google about your new pages. It also gives Google a head-up information about a page changes, rather then finding the changed page when it visits it weekly or monthly.
For some sites good, for others a complete waste of time. I dont use them alot, however.. I do like creating a static .HTML sitemap page and using it for a custom 404 error page. If Google hits a bad URL he/she has a pile of links to keep following, and it aids human visitors to find what they are looking for as well.
Sweetfunny makes a good point. A html sitemap can be a great opportunity to have really rich content - and also to very precisely target particular pages with internal anchor text. Dylan