A: There is a number of reasons why you may need a set up and different types of instruments have different problems. All of the more intensive procedures include a set up, and so in reality there are far too many reasons to list here....but here are the major reasons that someone would strictly need a set up.
Look down the sides of your neck from the headstock towards the body. The fret board should be ALMOST flat. If there is a significant bow in the direction of the strings, or if it bows backwards at all, you need to have a set up performed.
If your guitar feels like it has gotten harder to play recently, that you really have to push down on the strings, you need at least a set up.
If the strings of your guitar get dramatically further and further away from the fret board as they get closer to the bridge, you need a set up, but you also might need a neck reset if its an acoustic (ouch!). Bring it in, we'll let you know.
If you plan to change the gauge of string on your guitar either up or down, you will need a set up.
If you just bought a new guitar, it probably needs to be set up - this will help it really sing and will also increase the lifespan of the guitar (especially in lower-end models).
If you are starting to hear buzzing all over the fret board, you might need a set up (and possibly an LCP).
If your fretboard is starting to form small cracks, your guitar could defiantely use some general maintenance, which is all included in a setup.