Everything Paul said.... to expand, any ROM update could potentially require a clean flash or you will experience issues similar to what Paul said in previous post, even a small update. If one sensitive part of the system code gets changed and you keep old bat data in there, you always run the risk of an issue. That said, yes you can usually dirty flash (flash without wiping data) for incremental updates and be alright.. but if you get weird random issues, force closes, etc, you must assume it is due to the dirty flash and not the ROM. This is why the developers recommend you clean flash (full wipe) every time.
Personally since I don't have a ton of time, I update my ROM only about once a month or less often.. and because of this I never dirty flash. I rather take the time when I have it to set everything up again (it's not hard if you use Titanium Backup and once you get used to the process it takes about 20-30 minutes) than screw something up and be
required to do a clean flash when I might not have the time later. I also never make backups anymore so that's another reason I want to do what I can to ensure the flash is stable - though I recommend all users make nandroid backups until you reach a high comfort level where you can troubleshoot your own issues.