I also use a sign in/out sheet. It is mainly for my purposes, as I then have means to prove what children were here and when/how long. Should I ever be audited, I can show that. It is also so that I have in writing what time parents are here, just like Munchkin mentioned. If a parent is consistently late, I have hard evidence.
From the parents standpoint, I suppose its there to prove who is picking Junior up, if multiple parents/caregivers are involved.
I just made it on Exel, with the date, child's name, time in, time out and signature/initials. I go through about one per month.