Nightly builds aren't always necessary - I think they're only really useful on big projects. But if you're on a big project, a nightly build is a good way of checking that everything is working - you can run all your tests (unit tests, integration tests), build all your code - in short, verify that nothing is broken in your project.
If you've got a smaller project your build and test times will be shorter so you can probably afford to do more regular builds.
