Depends on how the yarn is wound when you buy it. If it is a hank of yarn, then yes, you have to wind your yarn into more manageable balls. A hank is just yarn wound into a loop and if you tried to knit with it the way it comes from the store, it would turn into a mess of tangles.
If it is a skein or a center pull ball, then you don't have to wind a ball. They are set up so that you can just find the end of the yarn and start knitting with it straight from the yarn as it comes from the store.