Usually, I think about 90%+ the answer is because your system will sound much better. Mine always has. My neighborhood has underground power and I have two direct lines to my system; one for my components and one for my amp. The power seems very stable… but my system sounds significantly better with a conditioner.
I recently tried a Cardas power distribution strip ($1,500, with great cords attached to it) instead of my power conditioner… it took a couple second to hear the drop in sound quality. This is what most… but not all people experience. You could be one of the lucky ones… but odds are not in your favor.