WordPress Sitemaps
There are two kinds of WordPress sitemaps: sitemaps for your visitors and sitemaps for the search engines.
WordPress Sitemaps for search engines
Web developers are usually familiar with XML sitemaps. These are the sitemaps you submit to Google through Webmaster Tools (and other search engines through their tools). The XML Sitemap tells the search engine, "Hey, here's a list of all the pages on my website that I want you to find."
You can't rely on an XML sitemap alone -- if there are very few links pointing to your "deeper" pages, the ones that it takes 3 or 4 clicks on your site to find, then the search engines assume those pages are not very important. So it's a good idea to reduce the number of clicks it takes to navigate through your site when possible.
But having an XML sitemap does help get even the deep pages indexed better, and it also tells the search engines when each page on your site was edited last. This provides a good hint as to how often the search engine spiders should come looking for new content.
It's impractical to create an XML sitemap "by hand" for WordPress, since you would have to edit the XML sitemap every time you changed a page. Fortunately, there is a really great plugin called Google XML Sitemaps. Install it on your WordPress site, edit the settings if you like, and you'll always have a current XML sitemap.
WordPress Sitemaps for visitors
But don't forget about your visitors. XML Sitemaps are structurally great but visually lacking, and you can't actually click any of the links to go to the pages they contain.
Visitor sitemaps are also impractical to create "by hand," because again, anytime you add a page or make significant changes, you would have to edit the sitemap as well. You're likely to make mistakes, and broken links can frustrate visitors as well as search engines.
Luckily, there is another great WordPress sitemap plugin just for this purpose: WP-Archive Sitemap Generator. It automatically creates a visitor-friendly sitemap page which your visitors can browse and use to navigate through your website.
I'm an advocate of minimal WordPress plugins; the more plugins you run, the slower your site is, and the more likely you are to run into plugin conflicts. But these are two of the essentials I don't skimp on, and it helps both the search engines and the visitors. 