I don't always block smaller projects, like, say, a scarf; I always block sweaters and such before seeming together. It makes the stitches lay nice, flat and even, and the feel of a blocked piece is completely different than a non-blocked piece (and there are various methods of blocking depending on the type of fiber). Also, the sweaters that I do I block because I want to not only have nice edges to seam together, but I also want to block the pieces to the size called for in the pattern.
I was teaching a baby sweater class one time, using just quick, inexpensive, acryclic sport weight baby yarn, and did a swatch and blocked it, and let everyone 'feel' it, as compared to an unblocked piece. The difference is amazing. In that case, I just pinned it and steam blocked it. Steam blocking is not right for everything, but the difference in the feel of it (not to mention making nice seems for sewing) is tremendous.