Generally speaking, it would be nice if the things that are intended to do damage are faster than your opponent's stuff.
More specifically, when you have a pokemon that is supposed to OHKO or 2HKO pokemon, you want them to be faster than the things they KO.
You can have your share of stragic switch ins/walls/healers/etc., but generally speaking, you want to have one or two fast, strong pokemon that have good coverage moves that you can hope to OHKO or 2HKO your opponent's pokemon.
You can have slower pokemon and/or pokemon w/ priority moves to fight against faster pokemon and trick room teams, but generally speaking when you're on the offensive you want to be faster than your opponent. It means your guy wins the fight, and it means your guy takes less damage.