As others have said, soaking mostly decreases cooking time. That's the main reason to do it. With some beans, the difference in time is minimal, but with tougher beans that take longer to cook (e.g., black beans), soaking can reduce cooking time significantly, particularly if the beans are a little older and more dried out.
The reason is because the first period of time in water is spent hydrating the seed coat. Once the seed coat is completely hydrated, water can flow through the surface and begin to cook the interior of the bean. The hydration of the seed coat can happen in cold water as well as hot water, so soaking beans will allow that process to begin before cooking. With most beans, the difference in cooking time might be 15-30 minutes (perhaps not enough to be significant for a dish that's cooking for a couple of hours anyway), but with some it might be as much as an hour.
Some say that soaking helps to maintain shape or keep beans intact, but I've found that really depends on the type of bean, how old they are, and how they are cooked. In many cases, the best-looking beans I've made have come from batches that were never soaked but cooked slowly (start in cold water and slowly bring up to a simmer).
The other main reason often cited is to prevent flatulence. However, if you throw out the soaking water, you also throw out lots of nutrients. Recent research suggests that long slow cooking is a better solution and probably gets rid of more of the flatulence-causing components than a soak followed by a quick cook. And you get to retain more nutrients. To quote Harold McGee from On Food and Cooking:
One kind of troublesome carbohydrate is the oligosaccharides [which are water soluble].... But the latest research suggests that the oligosaccharides are not the primary source of gas. The cell-wall cements generate just as much carbon dioxide and hydrogen as the oligosaccharides--and beans generally contain about twice as much of these carbohydrates as they do oligosaccharides.
Based on this research, McGee suggests:
[Soaking] does leach out most of the water-soluble oligosaccharides--but it also leaches out significant quantities of water-soluble vitamins, minerals, simple sugars, and seed-coat pigments: that is, nutrients, flavor, color, and antioxidants. That's a high price to pay. An alternative is simple prolonged cooking, which helps by eventually breaking down much of the oligosaccharides and cell-wall cements into digestible simple sugars.
In short, soaking might decrease your cooking time slightly. Otherwise, there's no good reason to do it. However, with no soaking, do be sure to rinse the beans thoroughly before cooking. I generally rinse 3-4 times with fresh water to get rid of as much dirt as possible.
