I did not ever have fenders on my bike until I moved to Seattle.

Best thing I ever did.

Make sure you get full coverage fenders - either very long metal ones, or put a mud flap on the bottom.

In Seattle, they are especially important - it's not just the rain; it's the fact that half the year we ride on wet roads (even when it's not raining). With fenders on, you keep all the spray off your feet and lower legs.