I enjoy occasionally baking over the weekends and on special occasions - biscuits, macaroons, cakes, pies, etc. I don't use parchment. My baked goods have always come out just fine - dare I say "tasty"? - and the only mild inconvenience I face by not using parchment paper is I have to scrape out bits of the baked good from the bottom of my baking tray. Other than avoiding this mess, is there any reason to use parchment paper? Does it affect the quality of the baked product?
What you're missing out on is time to do other things.
Besides the time trying to get the cake to release without tearing itself apart, or cleaning a sheet pan, you can do things like speeding up your cookie baking if you have less than 6 sheet pans:
Cut some pieces of parchment to fit your sheet pans, and measure out your cookies on them. Hold the pan at the edge of your counter, and slide the parchment w/ cookies onto it. When they're baked, grab the edge of the parchment, and slide them all off at once.
6 assumes that you're working two pans in the oven at once (if you do, you need to make sure they're rotated so they have time on both the top and underneath the other pan). You then either do two in the oven, two being prepped to go in, and two cooling. Parchment lets you remove the two that are being prepped, as well as the two that are cooling -- because they go straight back into the hot oven, you don't have the problem of the cookies spreading as you're dropping on the cookies, so the first cookies dropped cook differently from the last cookies.
So it really comes down to a question of cost vs. time. You know what your time is worth to you, so you have to decide if the parchment cost is worth it. (I personally rarely use it ... in part because I have the silicone baking mats, but for large batch cookie baking, parchment is much better as it doesn't insulate the bottom of the cookies. And then there are the other times when I kick myself for being too cheap/lazy and not using it as I sit there and scrub my sheet pans)
Parchment certainly helps with sticking. Puts a nice space between the baked good and the metal, for things like macaron it is ideal not to worry after all your hard work about it sticking to the tray! Although for macaron I prefer silicone mats. Parchment makes it easier clean up ultimately. I always used baking sheets smothered in butter and baked directly on that, but at pastry school parchment was a preference for cleanliness reasons (traditionally cheap industrial baking sheets don't have a non-stick surface, and they get pretty damaged pretty quickly).
You do not need it
But it can help in some situations.
My baking sheets are old and damaged and stuff stick to them.
Using parchment paper remove the risk of sticking.
You can use it not only on baking sheets, but also in cake molds, pie mold, as a steam pack...