I don't usually bother to rewind my yarn for knitting, but it's not a bad idea if you hate the little knots that can form inside a ball of tightly-wound yarn.
The friction and weight of the yarn swift adds tension to yarn when it is being wound. The result can be a very tight, somewhat unhappy ball of yarn. (If you have a helper holding your skein as you wind by hand, you won't have this problem.)
If you take that ball and wind it again, with no tension, it will be softer and you won't have to pull hard on it to use the yarn.
This is most important when direct-warping, in my opinion. When I use a tight ball of yarn on a direct warp, I always end up with one side of the warp shorter than the other. It's annoying and a waste of yarn, since more of it can't be used for weaving.
So, I've been winding my balls of yarn for warp twice. It makes me much happier with my weaving and it only takes a few minutes.