I like doing it because its just one extra variable that I don't need to consider. Getting a new CPU or part is exciting enough, but what if you didn't, for some reason or another, have your BIOS up to date enough, to make that part work? Re-install old CPU, flash, then install the new one, etc., etc.
Also, if you do encounter an issue, first thing tech support is going to ask you is what firmware you're running. If its not the latest, then they're likely to ask you to update if you ever have a firmware related issue. Better to keep things up to date, than to hit a bug and then face the daunting task of experimenting with updates.
Plus updates tend to be incremental, as opposed to being revolutionary. Its easier to bring in small chances to a system, test them out, and make sure things are stable, as opposed to needing to update a firmware from a very old revision, and find that a ton of stuff has been changed.