I wore glasses for a long time before switching to contacts, and have never particularly liked sunglasses. With contacts I always wear sunglasses (almost always with a clear lens) for the wind protection so I don't lose contacts, and as safety glasses. Bugs are one reason, but pebbles getting pinched under bike tires can go shooting off at high speed and funny angles. Wraparound shades help protect against that. The UV protection is also nice, though my contacts have (soon to be had, since I get LASIK next week) UV protection.

Some colors can also improve contrast-- I never have felt like they were useful on roads, but colored ski goggles certainly help when I'm skiing.