Because Jesus told us to. All the apostles taught it, and we assume did it themselves. We KNOW Paul did it, immediately upon regaining his sight. We know that pretty much ALL of Christianity did it, up until somewhere during the "restoration", when someone decided that everyone up until that point had been wrong.
It is our physical showing of our following Jesus... it is our "death, burial, and resurrection" to become a new creation.
Oh, and, according to Peter, when we are baptized, we will receive the gift of the Holy Spirit....