The mountainous parts, particularly if you aren't driving on the interstates. You can end up in a freak blizzard in the passes from September through May. Some roads do not have frequent, regular snow clearance in winter. Localized torrential rains from thunderstorms temporarily dump debris on or wash out the road surface. In the western US, unpaved highways are relatively common in some areas. Random unexpected road closures can send you down ranch or forestry trails intended for 4WD trucks because there are few practical alternatives.

When I lived in the area, I regularly rescued people stranded on roads in the Sierra Nevada mountains around Lake Tahoe that found out the hard way that their vehicles were unfit for the changing road conditions. Nearly getting stranded myself a couple times over the decades informed my vehicular requirements.

I currently live in the city and but rarely drive there. Almost all of my driving is done across the western US. I require the vehicle I own to be able to safely navigate all of the road conditions I am likely to see there.

A less common reason is that the nice paved roads are not always the fastest way between two points. I used to regularly commute to a town in Nevada where using the nice paved highway around the mountains took 30 minutes longer than taking an old mining road straight over the mountains. Everyone that lived in the area took the old mining road. That would have been sketchy without decent ground clearance. A lot of locals just drove old Subarus.