Many people feel that the only way to change society's perception of trans-people is to become the "known" element in people's lives. People tend to be afraid of what they don't understand. Being out gives you the chance to educate the public one person at a time.
It's just like homosexuality. Not so long ago most homosexuals were closeted, and so most people thought (wrongly) "Oh, I don't know any of those type of people. They're all a bunch of perverts, and I'd know if I knew any of them." Now most people know at least a few out gays and lesbians, and they've come to know them as regular people. Slowly but surely society is coming around to near-total acceptance.
Me, I have mixed feelings about being out. At this point I live in a small town and am in the process of transitioning, so I don't really have a whole lot of choice about being out. Part of me would like to move away and start over where no-one knows me. But part of me feels that A) To deny the first 30-odd years of my life is to deny a large part of what made me who I am, for better or for worse. B) It's a relief not to have to remember who knows what. I can make silly jokes about myself, or go on a date, or reminisce about my childhood without worrying about "What if someone finds out?" or "How am I going to explain myself?" C) No matter how much I wish otherwise, the fact is I'm not just an ordinary guy. I will always be unusually short, I will always have scars to mark where the breasts were, I will likely never be able to be intimate with someone without explaining my anatomical differences, I will never have the childhood experiences I would have had if I'd been born a boy, and I have had experiences, both good and bad, that I would not have had if I'd been born a boy.
On the other hand, there is a part of me that agrees with you. Why go through all this if I'm going to go around putting a big question mark over my head? Honestly, I don't know which side of me will win out in the end. I'm sure my views will shift as I move further into transition.