Once upon a time updating the software on your phone was fiddly, time-consuming, and strictly for nerds. We once bricked our Nokia N82 trying to install a software update. But in the age of the smartphone, updating your phone's software has become a regular, and fairly painless, occurence.
Other goodies include mobile hotspot support for iPhones, meaning that if your operator supports it (and you pay the necessary extra monthly fee) you can use your phone to beam internet access to a laptop or wi-fi-only tablet or e-reader. And the update also improves and extends AirPlay, Apple's wireless media streaming function, making it easier to beam video from your iPhone or iPad to an Apple TV. (You have an Apple TV, right? Right?)
iPad users will also be thrilled to see that iOS 4.3 lets them choose whether they want the mute switch to be actually be a mute switch, or whether they'd prefer the old-style option to lock the screen orientation (useful for reading in bed when lying on your side, we've found).
So what are you waiting for? Plug in your iDevice, hit up iTunes, and get upgrading.