i don't always use it, but sometimes it looks amateurish to have the text bumped up right against the border of the containing box. a little margin sometimes looks nice - think of a letter on a page, does it look better with the text written to the very pixel of the page, or with a little margin?
Ken - not sure if combobox margin is only available in 2007? i don't have previous veison to compare at the moment... (if prev. don't allow you, Dennisk's solution might be worth a try)