How would Big-O notation help in my day-to-day C# programming? Is it just an academic exercise?
Yeah, it is just an "academic exercise". An be assured, as long as some stupid academics do such exercises you will be able to do a good programming job from day to day :-)
By the way, if these academics don't look at lambda calculus, graph theory, automatas, turing machines or something else, they find their shortes path to have dinner with philosophers.
For further information, have a look at a good academic book or at the excellent answers above ...