If you are the only one on your system, there is no need to install it. But if there are other users besides you and you want to give them some amount of privileges (don´t use the ALL configuration flag), sudo is the way to go.
If you want to run any GUI program as root (like x11-fm/nautilus or editors/gedit for example) you are advised to use security/libgnomesu or sysutils/gksu instead of plain sudo. The gksudo command (with <alt-F2>) requires sudo but go ahead and test whether gksu works without it.
It's had security issues in the past. Also it's not posix so by using it you're creating a dependency. su() does what it needs to do. Nothing wrong with setting up permissions properly if you need to put a policy in place for a system with a large group of users.
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