CNET's "How To" section has a great article on how to setup this useful service and you can find it here.
You never really know when you might misplace, lose or even have your iOS device stolen. For example - This article goes into detail on how a TSA agent was caught stealing an iPad out of luggage he was scanning. The Find My iPhone service would be a great tool to locate that iPad once you realized it had been stolen.
Just spend some time to set it and forget it (until you really need it)!