When I first create a .NET project (really any software project, not just .NET), I have a general rule that I try to follow throughout the project:
Anytime someone retrieves the project's source code, so long as they have the correct version of the compiler installed, the first compile should be flawless - no errors, no warnings.
Anytime I pull down a project/solution (open source or internal company project) and this is not the case, I already have a sour taste in my mouth, so to speak. I've seen binary references that were not included with the source, tools needed to build that were missing, hard coded paths, and so on.
Having a continuous integration server build your project is a good way to ensure that this experience happens throughout a project's life cycle. Plus, you don't have to deal with other developers interrupting you to ask: "Can you help me get this project to compile?"
Just something to think about...