Updating your software is really an important element of making the most effective use of your Mac.
Apple makes it easy for you to keep your Apple branded software updated — things like your particular operating system (Tiger, Leopard, etc.), iWork apps (Keynote, Numbers, Pages), iCal, iChat, IPhoto, Safari, iTunes, iMovie, GarageBand, Quicken, etc. You will be periodically notified when updates are available and you would be wise to install those updates as soon as is convenient for you because there is always a good reason for them.
Sometimes it is security issues, sometimes it is to fix bugs, and sometimes it is to provide improvements of some kind.
If you have not already done so, you should take a moment to go into your System Preferences (Apple Menu > System Preferences > Software Update) and indicate with a check mark how frequently you want your computer to check for available updates (daily, weekly, monthly). I also elect to put a check in the box next to “Download important updates automatically”. Those options are under the “Scheduled Check” tab. There is also a tab called “Installed Updates” that gives you a list of all the updates that have been installed on your machine recently.
This update service is only for your Apple branded applications. Updating anything else is up to you. Some of your applications will allow you to indicate that you want to be notified when updates are available. For others you simply need to check the web site and see if anything is available.
I tend to do this whenever my operating system is updated, such as when it went from 10.5.4 to 10.5.5. It serves as a reminder to quickly hit the web sites of those applications that I use frequently to see if I need to download any updates.
As I said, there are always reasons for updates.