Just about every recipe advises to preheat the oven before using it. I often forget this, but luckily this doesn't seem to matter all that much. Hence my question: why would it be necessary to preheat the oven?
When you don't preheat, you cook your food at a lower temperature as your oven heats up for the first 5-15 minutes, depending on the target temperature and your oven's strength.
For forgiving foods, like a casserole, this may not affect you much - you'll just have to bake longer than the recipe says to. As long as you're careful, you'll be fine.
But if you're baking something that should be baked for a short time at a relatively high temperature, your results are going to be very different. For example, take traditional Southern biscuits: they're baked very hot for less than ten minutes. This cooks them all the way through, and browns the top and bottom. If your oven starts out cold, they're going to be done in the middle before they're brown! Beyond under-browning, you'll also run into problems like lack of rising in steam-leavened foods. Pastries, in particular, could probably be disastrous.
I have noticed that when I forget to do this, the elements on the bottom of the oven are running very hot. So, if I put a pan in the oven, then the bottom of the pan gets much hotter than the topside.
For example, quick dinner rolls - refrigerated croissants. (Dinner in 15 minutes - forget to buy or make rolls... Oven cold...) If I do not preheat, they come out burned on the bottom, but barely done on the top. Wait 3-4 minutes for oven to pre-heat and they come out fine.
As Jefromi said, some items, when baked, will have a very different reaction to warming slowly than to going into a hot oven. Consider a dough, like a biscuit or puff pastry dough that has butter layered or dotted in it. If the dough heats slowly, the butter will melt and run out, altering texture. If it heats quickly, the butter will do its job of shortening the dough or preserving layers.
The concerns about browning are also there, in that a pre-heated oven for the right amount of time will create the browning and bubbling and melting that is called for in certain recipes.
All that being said, it is easy to modify recipes and adjust for pre-heating times, but until you are very comfortable with this I'd be careful.
The effect a particular recipe has on the ingredients is often dependent on applying a specific temperature for a specific amount of time. You have quite a bit of latitude when you're making a roast, a casserole, or something similar. However, you have almost none when you're baking. You should treat a baking recipe more like a chemical equation -- be as precise as possible with ingredient measurements and the amount of heat you apply. There are chemical reactions in the food that depend on this level of precision.
In most cases, when packaged food advises you to preheat your oven (often giving a ridiculously long time), it's in the interest of having a “ready in 10 minutes” highlight on the packaging.
You can just put the food immediately, set the timer to the suggested time plus half your normal preheating time, and go spend your time on something more fulfilling like doing the laundry.
It also helps you tell if your oven's actually working. If you're a good judge of temperature (or if you have an oven thermometer), you can also judge if the oven's keeping the correct temperature before you close it up and ignore it for a lengthy period of time.
I only saw 1 post that stated a very important reason to preheat . And it is not so the instructions can give the correct cooking time . No one leaves something in the full time with out making sure it is not burning , and they also dont pull something out at the exact time with out visual that it is looking done . The big reason to preheat is the lower element stays on red hot for 5 or 10 minutes when you first turn it on . Thats long enough to burn the bottom on something and the whole oven wont be warmed enough to start cooking much . After the preheat the lower burner cuts off by the thermostat and the food cooks evenly . The lower unit cuts on and off to hold the temperature but doesnt usually stay long enough to turn red. . Thats why mama always scolded us for opening the oven door to look at whats cooking , every time you do that the lower element comes on again to replace the lost heat that went out the door .
Because it's important to follow directions, else we would live in chaos! "up would be down; left would be right; cats living with dogs..."
That and if you pre-heat you have a quicker 'bounce-back' to cooking temp because the walls of the oven are heated up and not just the air in the oven box.
The main working principle of an oven is providing a volume of air evenly heated to a nominal temperature, to immerse the food (+pans) in. Until that is reached (preheating finished), you are really cooking by an undefined mix of somewhat heated air and radiant heat from heating elements (which will be stronger while still heating up since the elements will be on for far more of the time) - closer to grilling than baking.
Also, for some foods, the speed with which the outside is heated significantly matters, for example if a crust is to be formed to keep moisture in or molten batter in shape.