Underlay changes the feel of the room
Even a good carpet can feel flat if the underlay underneath it is poor. A better underlay can soften the feel of a bedroom, take the edge off footsteps on the stairs, and make a lounge feel more comfortable.
That does not mean buying the thickest option every time. It means choosing one that suits the room.
Different rooms need different support
Bedrooms often call for a softer feel, so comfort may lead the decision. Stairs and hallways need more support and durability, because they take so much traffic. Family rooms often sit in the middle, with a need for both comfort and wear.
The best advice is to buy the floor as a whole system, carpet and underlay together, not as two separate purchases.
Underlay can help older homes feel better
Many local homes have quirks. Some feel cooler underfoot. Some carry sound between floors more than newer properties do. Underlay will not fix every issue, though it can make a noticeable difference to comfort and noise.