Yep, you should clean it at least every six months or so. Using compressed air like the above makes it a lot easier and it ends up being cleaner.
An excessive buildup of dust has one main issue, with a minor possibility of another.
Dust can clog up heatsinks, particularly ones with fans on them. Open up any PC that hasn't seen maintenance in over a year (particularly pre-built systems, no dust filters and zero maintenance typically) and I can almost guarantee the CPU heatsink will be choked with dust. Obviously that inhibits air-flow and therefore cooling.
The second less likely issue is that the dust will contain tiny particles of metal. Either because the dust has built up over so long or you live right next to mechanics or something, there might be enough metal in that dust buildup that it can cause an electrical short. The chances are slim even in worst case scenario circumstances, but its a possibility.