ITNinja

2,5 reasons:  

1. Check in the captured registry for the PendingfileRenameOperations key ( as discussed above by Bob ;-)

2. Check in the captured registry for the RunOne key 

2.5 Services ( not really a reason, but some lazy programmers just add the reboot)

Sometimes before a restart, the system will set the workstation up for actions to take place upon reboot. You can reboot during the packaging process or you can have your package end with a reboot.
Testing is always required, especially as actions performed after the reboot could require more access to the system than your users may have. Watch for these things when determining if a reboot should be captured or not.
The install creates temporary files to be renamed after the reboot because it needs to replace a system file which is in use. Temporary files may be created (such as ~GLH0004.TMP) for renaming after startup due to files being in use during the installation:
HKLM\SYSTEM\CurrentControlSet\Control\Session Manager\PendingFileRenameOperations
Check to see if the PendingFileRenameOperations value exists to know if this is an issue for your package.
There was a bug in SMS installer where it would not capture these pending file rename operations. Capturing a reboot will ensure you have everything, but without a good exclusion list, it may take some effort to clean up all the changes that take place on your system during the reboot that are not associated with the application being repackaged.