It depends on where your water heater is located. If it's in the garage, it probably isn't necessary. If it's in an area where there could be substantial damage when it leaks, then it would be highly recommended. It is best that the pan is a minimum of 2 inches in diameter wider than the water heater and more if possible. Don't use a plastic pan under a gas water heater, use the metal one. Anytime a pan is installed, the pan should be drained to the outside of the house. If this is not possible due to the location of the water heater (ie in the center of a house or somewhere that would prohibit the running of a drain line to the exterior of the house) then you can buy a water alarm that will go off when it detects water in the pan. (See Dan's link). It will go off just like a smoke detector would. Also, check with your local plumbing code, some areas require pans regardless.
Hope this helps!