Baptism is important, and if you are a Christian you should be baptised, though if you press me I'll say, "No, definitely not".
Baptism is a bit like repentance - it is something that people do once they become a Christian (have faith) but by itself it doesn't save. Some understand baptism slightly different from this but without saying that baptism saves. So why get baptised? Because Jesus commanded us to perform this ritual as an outward sign of inward change.
This isn't something to be taken lightly.
Scripture speaks very strongly about the importance of being obedient and being baptised. Because the bible is so strong on this holy ritual, many have mistakenly said that baptism itself is necessary for salvation. The problem with taking it this far is that you introduce a deed or action that must be performed in addition to having faith.
Precision of language is important so that you don't mislead anyone: If someone asks if baptism itself saves, you can say that salvation is a work of the Spirit, changing a person on the inside. These changes will bring about obedience (in your actions) to the commands of God. Baptism is a matter of obedience. Those who are saved will want to obey because they love God.
Putting it another way, baptism is an effect that is produced by salvation, not a cause of salvation.
Further reading on the heresy of baptismal regeneration
A sermon by Charles Spurgeon on baptismal regeneration
The Christian Apologetics Research Ministry comprehensive article on baptism