Firmware updates are important to your camera, whether it be a point and shoot or a professional DSLR!
Updating the cameras firmware can bring updates such as; autofocus updates, or revised menu designs, even new features.
Dont worry you wont loose any settings, even my precious shooting menu bank data remained, so you wont find yourself setting all these time consuming parameters up again, even the time and date is safe.
Tonight I checked for updates on my Nikon DSLR's, 3 of which had an update ready, The D700 was raised from firmware version 1.01 through to 1.03 on both A and B firmware, my D300s and D200 also were updated, but then so was my point and shoot, A Fuji J10.
Make sure you check out your manufactures website for any updates available.