In all the time we've used a stepwedge as our logo, no one has ever asked me "why?". Perhaps it's because the answer is so obvious: a stepwedge can be your single most important tool to analyse what retouching has done to the tonality of your image. (it also makes sure you can calibrate your monitor on every page, it should be bright enough that you have a good white, and the contrast should be set so you have a good black but can still see a clear division between the two darkest wedges)
To make a stepwedge, you simply make a blank document and use the Gradient tool. Make sure that Dither is turned off, and select Black/White as your gradient. Then hold down the shift key (to make a true horizontal) and drag from one side all the way over to the other (without going beyond).
Now you should have a smooth black to white gradient that resembles this one. (notice this illustration actually has fine banding, that's due to JPG compression and is your first clue about how useful stepwedges actually are)
Finally, use Image > Adjustments > Posterize set to 21 steps. This will provide a stepwedge with even steps of 5% difference from each neighbor. Save this after flattening as a PSD or TIF file, and drag a copy onto the border of any image you're working on.
A stepwedge doesn't have to be big to be useful. In fact, smaller versions will actually show things that might be lost with a larger one.
These static files don't show the primary advantage to using a stepwedge with Photoshop: you can see them change interactively as you make adjustments
Here a stepwedge illustrates what's actually going on in your image as you move a Levels midtone slider over to the left:
And here's what happens when you move it to the right:
And here's why curves are so popular. Here I've applied a pretty standard S-curve. Notice all the levels are still present:
Here's why you should never, ever use the Brightness adjustment:
And here's why you should never use the Contrast adjustment:
Here the stepwedge illustrates what really goes on when you apply Unsharp Masking:
And here's USM with a threshold applied. Notice how the edge effects just "stop" midway through:
This next one illustrates Gaussian blur. Notice the edge effects that have been introduced that no one ever talks about with blur:
This odd-looking one shows what happens when you use the Dust & Scratches filter on the entire image. Look at the corrupted detail:
Blending modes are hard to understand and even harder to pre-visualize. A stepwedge can provide an instant, visual explanation of what a given blending mode does. Here I've duplicated the stepwedge and changed the blending mode to Multiply:
And here I changed the bending mode to Screen:
I've yet to read a good explanation of the various contrast blending modes, but here you can instantly see what Vivid Light does to an image:
These are just a few examples of the utility offered by incorporating a stepwedge into your image border. And again, these do not even begin to hint at the advantage being able to see these effects change interactively as you work.