If you're using a WDTV then most of the formats will just be delivered without transcoding, but by using this software it also means you can stream your MKV's and other unsupported formats to a PS3 or network-enabled TV. This is, of course, a massive time saving, you no longer need to convert your media before you can play it.
My only real complaint about the software is having to restart it in order for my WDTV to see new media, I'm not sure if this is true of all DLNA clients or if I'm doing something wrong. If you know of a way to resolve this then please let me know because it's a little frustrating.
There are plenty of other software options for a DLNA server but as far as I can tell, this is the easiest and quickest free solution.