OK so you run as root, somebody walks by your machine and does anything they want to it becuse you've allowed them to do so by staying logged in a root. Or worse yet, you're using an off the wall router that has erroneously led you to beleive that you are secure but in fact a hacker exploits one of the vulnerabilities like a TCP stack overflow, gets into your box and since you're root he mounts your hard drive(s) and has a look around, gets your credit card info and leaves you a free virus.

I'm sure you could imagine alot of other scenarios.