I don't HAVE to, but I much prefer it. I bought a book from amazon on 12/26 for $11.48 + $3.99 S&H . Then, in a separate transaction offered only after completion of the order, I paid $3.19 to have it available to me online via the "amazon reader". It says you can make annotations and stuff in the offer, but when I brought it up these features were "not available at this time".
I read most of the book this way, then the hard copy came yesterday, 12/29. When I picked it up and flipped through it, I felt like I was really seeing it for the first time. It's like coming up for air, or something. The "amazon reader" is nothing more than a pdf viewer, really, so I suppose page flipping is much more convenient in Kindle, but I don't think you can beat a real book.
As much as I like my Kindle, I still have a problem fitting it into my favorite wintertime routine.
When I settle down in my chair by the fireplace in the evening with the fire going, my glass of Scotch in hand, and the dogs snoring away at my feet, it just feels downright weird having this little plastic thing in my hand instead of a big old book.