I can't emphasize this one enough. Unless you need to login from a lot of different machines, there really isn't any excuse not to do this. It also has the bonus of making logins really easy since you don't have to type a password.
If you host your systems on a VPS service like linode or slicehost then you have the backup of a web based console in case you screw up royally and have a HD crash on the one machine your SSH key was on (for example).