In my campaign, most of the characters take Improved Init and for good reason. Time and time again, the nature of battle is usually determined by who goes first. If the party has enough PCs going first, they are almost always victorious and often take very little damage. If the enemies go first, then there's usually a lot more damage inflicted by the enemies (spells, special attacks, etc). The only characters right now that don't have Improved Init are the divine casters (cleric & druid) and that's mostly a side effect of those characters being non-human and having so few feats to spend. For them crafting or other options are more important at this point in their careers.
Is Improved Init a must-have for any character? No. However, when compared to many other feats, Improved Init is simply the best option. Even with an already high dex, it is still a good feat to take, helping further guarantee you'll go first, or at least act before a majority of mixed foes can. For a rogue, sneak attack is the uber ability, and going first means you can use it that much more often. Hence, improved init is a good feat for rogues to take, and it's often hard to find any other feat that is better.