If you remember making a playlist where one song is suddenly much louder than the last, and you’re riding the volume knob on every other song, you’ll see why this is nice!
On Windows I've always liked Foobar 2000 for its strong ReplayGain support, both automating the analyzing pass and respecting the metadata in the tags once saved. On Unix I was using Banshee for playback and automating analyzing with a pair of CLI tools I've forgotten the names of, one was MP3 specific and the other Ogg/FLAC-specific, as I recall.