Well yes in a sense you do. An LGA2011 board for example will in most cases have 14 or so sata ports, where as a mAtx 1155 will have 4-6, 1 less raid controller and so on. Is it worth the extra money? Only you can decide that.
Ask yourself: how many PCIe lanes do you need? How many Sata ports? How much ram (x61 for example was limited to just 16gb max ram)? There is no simple answer to what is the right board. Chose one that fits your needs. For high end workstations I usually recommend and suggest buying an upfront more expensive motherboard with more features so they can grow into it. For a gamer I usually say buy a cheaper board and spend the money instead on a better CPU/GPU.
The difference comes with the features mostly, assuming the same chipset.
More expensive motherboards will have more pci-e slots, 6gb sata ports, lan attachments, usb3.0 attachments, ram slotsSLI/CF capability.
Thare are some qualatative differences like better power controls which are of importance only to record seeking overclockers.
All the manufacturers are good.
You will not see any significant difference in cpu or graphics capability between the lowest and highest priced motherboards.
It is the cpu or the graphics card that makes the difference.
For competitive overclockers then minor differences can be important.