This is where a lot of the homepage hijacker and ad-popup stuff resides. Worse, some of it provides servers that run all the time that the vendor can check at any moment to get personal information about you and your browsing habits. Others are tasks that eat up RAM all the time even though they are features you rarely use - qttask.exe (Apple's quicktime) is a classic example, and its key can be safely deleted without disabling you from using QuickTime. All this bloat is why we have to have 256 megs of RAM (I REFUSE to buy more RAM than this, since I remember the days when 64K was considered generous, but that's just me).
Be careful what you delete, since some of the processes in the Run keys are legitimate components of the operating system, like WinStart.exe. If I don't know what something is, I do a "Search for Files" on my hard drive, find the file. If it's in the WINNT folder, I look at its properties to make sure it's not part of Microsoft Windows before deleting both the file and the key.
It's also a good idea to delete your cookies every so often, since they also can be used to track you. Just some thoughts.