Rules are in place to protect the common, good--in essence, they are there to prevent people from doing harm to one another. There are rules in games to promote and enforce fair play. Our societal rules as well as most laws are there to prevent people from hurting, killing, or taking advantage of one another. There are rules in marriage to ensure fidelity. There are rules in business to promote fair business practices. The list goes on and on.
Even though there are some seemingly frivolous rules (like the funny laws about spitting on the sidewalk that are still on the books in some places), most are still there to protect other people in some form (even if it is from something as minor as someone else's spit on our shoes). Therefore, if rules are there to protect the common good, following those rules is important to keep society functioning correctly and ensuring that we are each productive and contributing members of that society. Whenever we break a rule (for example, littering on the sidewalk), we cause someone else discomfort or extra work (they have to step on the litter, have to bend to pick it up, etc.). Following rules ensures that we each do our part to keep society going.