From what I can tell, it is an accepted rule that if you have a class A that has a member m that is IDisposable, A should implement IDisposable and it should call m.Dispose(
Firstly, there's no guaranteeing when an object will be cleaned up by the finalizer thread - think about the case where a class has a reference to a sql connection. Unless you make sure this is disposed of promptly, you'll have a connection open for an unknown period of time - and you won't be able to reuse it.
Secondly, finalization is not a cheap process - you should be making sure that if your objects are disposed of properly you're calling GC.SuppressFinalize(this) to prevent finalization happening.
Expanding on the "not cheap" aspect, the finalizer thread is a high-priority thread. It will take resources away from your main application if you give it too much to do.
Edit: Ok, here's a blog article by Chris Brummie about Finalization, including why it is expensive. (I knew I'd read loads about this somewhere)