Why is it necessary to preheat an oven?
When you don't preheat, you cook your food at a lower temperature as your oven heats up for the first 5-15 minutes, depending on the target temperature and your oven's strength.

For forgiving foods, like a casserole, this may not affect you much - you'll just have to bake longer than the recipe says to. As long as you're careful, you'll be fine.

But if you're baking something that should be baked for a short time at a relatively high temperature, your results are going to be very different. For example, take traditional Southern biscuits: they're baked very hot for less than ten minutes. This cooks them all the way through, and browns the top and bottom. If your oven starts out cold, they're going to be done in the middle before they're brown! Beyond under-browning, you'll also run into problems like lack of rising in steam-leavened foods. Pastries, in particular, could probably be disastrous.