Reasons I can think of for wanting to do that are:
1) You've got some piece of software that doesn't play nice with the CPU power management. For example, I have a system where Hulu videos stutter quite badly if CPU power management is enabled.
2) You're running a low-priority CPU-intensive background task like Folding@home, and want the CPU to run full-bore even though the background task isn't of high enough priority to kick the CPU out of power saving mode.
Reasons I can think of for *not* wanting to do that are:
1) It wastes power.
2) If your CPU cooling is marginal to begin with, it may shorten the life of the CPU.
Life is full of tradeoffs. If you're not doing either of the two things listed at the top of this post, then the reasons for *not* doing it probably take precedence.