As others have said, many different species of fish do eat algae, so a little of it is healty in your tank. Another reason algae can be helpful is that it processes nitrates out of the tank, as well as adds oxygen to the water. Algae is, after all, part plant.
Disadvantages of algae well, beyond ugly aestics is that if it takes over the tank, especially in planted aquariums, the tank will go through a process known as eutrification. Algae will grow over the plants and rob the plants of light and nutrients. As the plants die, decomposition uses up oxygen, as well as the contaminates of decomposition increasing ammonia levels. When eutrification occures, the tank dies and becomes pretty much a swamp.
The amount of algae you allow in your tank is up to you. Personally, I don't clean algae out of my home tanks because the plecos eat it. I also practice proper light management so that the algae never gets an opportunity to become overgrown. When I used to work at an LFS I was fanatical about making the tanks look algae free by introducting snails and ensuring I had at least one pleco in every tank, as well as weekly scrubbing the algae off and bleaching ornaments.
Hope that helps.
~~Colesea