It's really all about protecting yourself financially.
If you're in an accident or your car is stolen, it costs money, often a lot of money, to fix or replace it.
If you or any passengers are injured in an accident, medical costs can be extremely expensive.
If you or your car is responsible for damage or injury to others, you may be sued for much more than you're worth.
Not only is having insurance a prudent financial decision, many states require you to have at least some coverage.