You saw it happen to Andy Schleck in the 2010 Tour de France, a dropped chain could be the difference between winning and losing. It's also a great way to keep your frame from getting the bottom bracket area to look like the bike in the video. It's simple, it's light, and a fairly inexpensive insurance policy that you'll be happy to have.
If you’ve spent a lot of money on a bike and you do any kind of racing, there is a really cool product that can come in handy called the K-Edge Chain Catcher.
This happens to everybody: your riding around, you hit a bump as you’re shifting, or your derailleur gets banged around while you are transporting your bike, and you drop your chain. If you drop your chain in a race, you have to get off your bike and put it back on. Not only that, but it can really tear up your frame as well. The K-Edge Chain Catcher will make it so that doesn’t happen to you.
With the chain catcher installed, if it ever drops, all you have to do is pedal and it’s back on.