Very important. Particularly if you have a large site. We operate a large site with 100,000's of pages and as Dan said it can be difficult to maintain. We use something called Unlimited XML Sitemap Generator which builds XML sitemaps for us automatically. I'd highly recommend it although it takes a bit of fiddling with to get it up and running as it's software which sits on site. We couldn't manage without it as we'd be forever on sitemaps.
We found that getting sitemaps right on a large site made a huge difference to the crawl rate that we encountered in GWT and a huge indexation to follow.
In particular check for 302's. I made the mistake of leaving those for a while and am sure that we suffered from some loss of link equity along the way.
Hope it helps
Dawn