I didn't used to, but it literally provides bounds for the eyes to fall on, creates a window and so adds drama, composition and supports the content. It's perfectly possible to change the mood or feel of an image through the frame, so it's just another tool for creating the right atmosphere really - check this out:
Neutral
Cool
WarmThe image is the same in each case, but the frame (which I've over-emphasised) changes the feel of the tones inside.
I may have taken this explanation too far.... :-)
Sam