Mycorrhizae fungus do provide benefits to plants. They colonize on the root hairs of plants and effectively increase the root mass aiding in nutrient absorption.
As @psusi mentioned Mycorrhizae are generally present in most soils. In addition I read that plants secrete organic acids (Dr. Linda Chalker-Scott) to attract the mycorrhizae when they need it. They don't need to when the soil is nutrient-rich. Phosphorous seems to be a big determinant of whether or not mycorrhizae will colonize on the plant's roots.
I think the addition of mycorrhizae is overhyped and aggressively marketed but there are instances where it can be beneficial. In soil that has been previously managed with synthetic chemicals there is little biological activity and innoculating the soil with different beneficial bacteria and fungi seemed to work well for me.
A few years ago I did some digging into mycorrhizae when I was reviewing an organic starter fertilizer on my website. I used it a couple of times before overseeding. Good fertilizer and I like the other microorganisms they add but I don't think the mycorrhizae is a big deal considering the fertilizer is high in phosphorous.
If you have good healthy soil with good microbiological activity and don't use fungicides that will kill the beneficial fungi in your soil you probably don't need to add mycorrhizae to your plantings. If you're still cultivating your soil ecology, inoculating with various microorganisms might speed things up but adding organic matter (compost) along with the microorganisms in it is more important for sustainable results.
These presentation slides from Dr. Curtis Swift of the Colorodo State University Cooperative Extension titled Micorrhyza and its uses: Fact or Fiction is a good read with lots of references to studies.