Without trying to present all the places in the Bible that both model the future catching up/rapture of the godly and teach about it directly, I wanted to share a couple simple aspects as to why it is important...(taken from a comment I left on another discussion board)...
I'm confident for myself the rapture is a real and much looked forward to promise of Jesus. I don't think that believing in the Rapture is a deal breaking aspect of salvation, but do think there are very important aspects of the teaching that those who dismiss it may not be considering. When Jesus left he said he would return and that believers are to be watching for his return while serving and giving others our testimony so they might believe as well. Along with this, there is promised end times wrath with his return, and the reason for the catching up of the faithful is so they will not have to suffer this terrible wrath when it comes.
The word rapture is not in the Bible and even the word Bible is not there – no matter what we call it, the teaching is there. Knowing about this future catching up is important to help us be motivated to be saved. Biblical teachings today so often avoid the ugly consequences of not being saved which are stated over and over again in the text. People need to worry about these things as they are key to the message of the gospel. If you understand end times events, then not to have a rapture like event places even the saved under the terrible wrath of God. It all fits together.
One of many examples in the Bible of the modeling or foreshadowing of the catching up is how God provided safety to his people in Goshen at the first Passover. In Exodus chapter 12 the people were told to put the blood of a lamb (Jesus) on their doorposts as a sign of their faith so they would not be harmed by the angel of death which would pass over. God does not subject the faithful to his wrath and he will pass over again. Before then, the faithful who are on earth will be taken to a safe place to be kept from harm. This is a picture of the rapture.