I just started playing a 7th level halfling rogue, and realized weapon finesse is an essential feat for him.
Because he's a rogue, his weapon's based damage doesn't really matter: he's gonna be adding about 14 points of damage onto each successful hit. And because he's a halfling, he's pretty limited in weapon choice -- and that's not even addressing his crappy strength.
But weapon finesse -- ahhhh. It's like a quadruple-empowered weapon focus for me, giving me +4 to hit with my teeny-tiny dagger. And when I slip it into someone's soft soft belly for 25 points of damage, I thank my roguy stars that I took the feat.
It's not, after all, how big your weapon is. It's how you use it.
Daniel