If you're logged in as root, you can easily wipe directories or do something that in retrospect is really dumb on the system with the flip of a finger, while as a user you normally have to put a few extra mental cycles into what you're typing before doing something that is dangerous.
Also any program you run as root as root privileges, meaning if someone or something gets you to run/compile/browse a website that is dangerous and wants to damage your system, such as a trojan or other malware, it has full access to your system and can do what it wants, including access to TCP ports below 1024 (so it can turn your system into a remailer without your knowledge, for example).
Basically you're kind of asking for trouble that logging in as yourself may prevent. I've known many people that ended up being glad they had that safety net in a moment of carelessness.
EDIT: There is also the issue of root being the most well known, thus an easy target, for scripts and hacks. Systems that disable the account and instead force users to use sudo means that any attempt to crack root from ssh or a local exploit to the account are banging their heads against a wall. They'd have to guess/crack a password and username. It's security through obscurity to a degree but it's hard to argue that it doesn't foil most script kiddie attacks.