Yarn that comes in a long, twisty hank really needs to be wound. If it isn't, it will very likely become one big pile of yarn slobber.
Regular skeins don't necessarily need to be wound into balls, but I don't like having the surprise of knots or tangles that show up while I'm knitting. I wind all my yarn into center pull balls as I get ready to knit it.
I have a yarn swift, but I've never used it. I use the winder at my LYS, since it's just across the road.