It gives the tank time to "settle" and it lets you see if there are going to be any problems, like a mechanical problem with the filter or heater, for example. I'm glad I let mine settle for a few days, since the water started out a bit cloudy from the gravel.
If you have a local fish store, they might have a few items that are better quality than what you might normally find at a general pet store. I find Petco does have some good stuff though. They sell some of the big brands.