When I first started to create my own graphics, I understood very little about anti-alias and was frequently pissed-off because my images looked really bad at the edges especially with graphics of circles, ellipses or images with curves. See the comparison below.
The solution was of course, for me to USE ANTI-ALIAS.
What is anti-alias? In short, it makes anything you draw (bitmap) look smooth and not jagged (like steps) at the edges. Okay, the logical assumption is to draw anything with anti-alias ON. So why have it as an option if this tool is perfect for every situation? You will see the difference when you add text to a graphic. I noticed that using anti-alias on text smaller than 10 points generally create a blurry finish and so far, this is the only time I do not use anti-alias.
Here I must add that there are other things to consider to produce images with smooth curves like the image on the right below but as far as Anti-alias is concerned, this explanation is sufficient for the moment.