Claying is extremely important for a number of reasons but one that you should be able to relate to is the removal of paint contamination. It works like this. Before you can use products on the detailing market to correct and make your paint shine, you must remove any barriers between you and the paint. The process of claying is the only one that will achieve this. If you don't remove that barrier of grit and grime, then you are polishing and waxing that barrier instead of your paint. This drastically diminishes the overall results of your work and in my opinion, your work is basically like polishing a turd if you don't bother to clay when it is necessary. When it's all said and done, your car will still look like crap to the trained eye.
Here's a write up that I did on claying. It explains it in more detail.