Drupal has a very aggressive caching system. While site admins can disable the page cache or CSS compressor very easily, many other caches are not so easy to disable. Think of the menu system, or the theme system, or filter content, or any number of other things that get cached.
In a production site, that's exactly what you want. No Drupal site would be able to handle even moderate traffic if every single registry cache had to be rebuild on every page load. For development, however, it can frequently be a huge pain to have to clear the cache every time you're trying to track down a bug in a menu definition or a CCK field definition.
There's an admin button to clear the cache on the Performance page, but it's not all that useful for intensive debugging. The Devel module (which you are using, right?) offers a handy "clear cache" button, but that doesn't always work if you're, say, debugging a form submission. Fortunately, Drupal makes it easy for us to disable those caches, too, although not through the admin.