The newer versions of the bios fix a couple of suspend/resume problems and some thermal throttling stuff. They also add all the new processors released since the 1st batch of Conroes. 0801 and 0803 fix a problem with Creative XiFi cards not being able to enable EAX in games, which is why I updated mine.
If you have no issues now, there really isn't any reason you must update.
WARNING: if you update, there are a couple of new options in the bios, which means you must clear your CMOS before the system will boot. At least that's what I found I had to do to get my system back up.
Running a E6400 on stock voltage at 2.6Ghz with no problems. I haven't tried pushing the envelope as stability is more important than speeding up the processor another couple percent to me. Waiting for the new E8400 to be available.
