Well, depending on where you are, it may not be appropriate/safe to answer it when it rings. Situations I can think of: while driving in traffic, in a meeting, at the library, in the restroom, while checking out at a store, while eating with someone else ... there are a whole host of situations.
Also, in my case I have a prepaid phone, so unless I am expecting an important call I don't check voicemail until I get home and can do it via my computer. If I use the cell phone to check messages I have to pay for the time.