Yes. You should use the fuel recommended by your owner's manual. If you don't you are increasing emissions, reducing performance and, in some circumstances, putting your car at risk of avoidable problems.
As I said over here:
High octane is required for some cars:
e.g., a turbocharged car will likely
require higher octane to reduce risk
of detonation with higher charge
temperatures. High octane is also
required to get the optimal power out
of a tuned car: properly advanced
timing will enhance power and economy
(obviously, not at the same time).
Some cars are capable of utilizing the
highest octane available, depending on
the ECU programming (this is not as
Some cars can tolerate a lower octane
for an unspecified time by retarding
timing. This reduces economy and
increases emissions but will allow you
to limp home on lesser fuel.