Depends on what you are using (paint) and what you want to achieve.
I agree, it's not "necessary", but it can have its advantages.
I really don't think there is a wrong answer here, but I am a fan of sanding back at the later stages of clear coat (as long as you are not using a belt sander, planer or angle grinder ;-)).
Sand too soon (first or second coat), and a sandthrough can be easy and become a real big pain. After many coats of clear nitro (aerosol) without sanding, you are probably going to have some pretty decent orange peel buildup. Once the lacquer is built up to that level, I have had sucess with sanding back partially and lightly using 600 grit (wet using naptha), manily to knock down the tops of the orange peel. At this point I'd spray it again (on the light side), then hit it with some 1,000 grit (wet using Naptha) once it has had some time to cure. That should get you pretty good and level with minimal chance of sandthrough. The local auto parts store may sell 1,000 grit for sanding clearcoat. Home Depot/Lowes will probably not sell it.
Good Luck,
James