Great question! Many agents in my area are not joining the local NAR association or the MLS because of the proliferation of FREE real estate data sources, such as Trulia, Zillow, REALTOR.com and others that receive syndicated listings from the MLS's. I've gone the other way - we belong to 2 local associations and subscribe to 3 MLS's that cover our service area.
Joining an MLS helps your business several ways. Primarily, even though a lot of properties are sold in our area without going on the MLS, most are listed and having direct access to the MLS gets us notified as soon as the listing goes live. Not joining the MLS means you'll have to wait a day or two before the listing processes through syndication. That 24 hour wait can cost a buyer a house or delay availability of comp information that could support jacking up the price on a listing.
The data provided in an MLS listing is also much more complete than what you'll get through syndication, which makes your property screening process much more efficient.
Our MLS systems also have some really great tools for doing market analysis and accessing tax information.
Finally, the property search tool on our web site is supported by a direct IDX feed from our MLS's, which requires MLS membership to tap into. Agents can get search tools from the free syndication sites, but that tool is branded by the site that supplies it, detracting from your brand and re-directing your potential clients back to the free site and away from yours (and that's not a good thing).