No matter what your politics, sooner or later someone you don't agree with will be in charge at the national level.

There are also cases where states take on cases that the national government never pursues in the first case. IIRC, states pursued the tobacco companies when the national government would not (Democrat or Republican).

Of course, it happens in federal courts, so you also need separate and independent branches at the national level. But states that can act independently are important as well.