Well since you are asking, it's good practice but in a few instances (no joins needed to the data) it may not be absolutely required. The biggest problem though is you never really know if requirements will change and so you really want one now so you aren't adding one to a 10m record table after the fact.....
In addition to a primary key (which can span multiple columns btw) I think it is good practice to have a secondary candidate key which is a single field. This makes joins easier.
First some theory. You may remember the definition of a function from HS or college algebra is that y = f(x)
where f is a function if and only if for every x there is exactly one y. In this case, in relational math we would say that y is functionally dependent
on x on this case.
The same is true of your data. Suppose we are storing check numbers, checking account numbers, and amounts. Assuming that we may have several checking accounts and that for each checking account duplicate check numbers are not allowed, then amount is functionally dependent on (account, check_number). In general you want to store data together which is functionally dependent on the same thing, with no transitive dependencies. A primary key will typically be the functional dependency you specify as the primary one. This then identifies the rest of the data in the row (because it is tied to that identifier). Think of this as the natural primary key.
Where possible (i.e. not using MySQL) I like to declare the primary key to be the natural one, even if it spans across columns. This gets complicated sometimes where you may have multiple interchangeable candidate keys. For example, consider:
CREATE TABLE country (
id serial not null unique,
name text primary key,
short_name text not null unique
);
This table really could have any column be the primary key. All three are perfectly acceptable candidate keys. Suppose we have a country record (232, 'United States', 'US'). Each of these fields uniquely identifies the record so if we know one we can know the others. Each one could be defined as the primary key.
I also recommend having a second, artificial candidate key which is just a machine identifier used for linking for joins. In the above example country.id does this. This can be useful for linking other records to the country table.
An exception to needing a candidate key might be where duplicate records really are possible. For example, suppose we are tracking invoices. We may have a case where someone is invoiced independently for two items with one showing on each of two line items. These could be identical. In this case you probably want to add an artificial primary key because it allows you to join things to that record later. You might not have a need to do so now but you may in the future!