It is the same reason that you have to format a new hard drive in your pc. The manufacturer does not know what operating system you will be using and leaves that for you to decide. That is formatting. A camera is no different. It is taking that clean slate and setting it up to be ready for the operating system (i.e. camera's firmware). Some cards will not work if you do not format.
Well, that's not quite 100% true. The reason you format a hard drive is two-fold...
One, to partition it since some people prefer multiple partitions (or slices, if you're into unix), and two, for the file system, not the operating system. Ie, FAT, FAT32, NTFS, etc. A FAT32-formatted drive can run any number of operating systems.
Any 2gb-or-less memory card or USB drive should come preformatted in FAT format (aka FAT16), and should work in pretty much any camera or computer without formatting. FAT tops out at 2gb, at which point they're formatted in FAT32 format - for SD cards, these are SDHC (High Capacity) and many cameras can't use them as they don't know how to read FAT32. Some new-ish cameras have firmware upgrades available to help them deal with them.
But, an out-of-the-box memory card should work with no issues. If the camera's normal folder system doesn't exist, it'll be created when it first writes a picture to it, and the presence of addition software should not bother the camera at all.
There's no harm in formatting the card (and it is a good idea if you think the file system has gotten corrupted or you quickly want to clear off all your old pictures), but you're fine if you don't, too.