On Screen Display (OSD) is important for FPV pilots, but not absolutely necessary. A good telemetry setup, with vocal alarm may replace an OSD in most cases. However, the OSD allows to display all the important information live in the video and make you feel a F-16 pilot.
I personnally use EagleTree OSD Pro for my multiwii controlled multirotors and DJI OSD for my Wookong aircraft.
This is how my OSD information appear in my video googles when I pilot my QuadOcta with the EagleTree OSD: