This is an actual, hand-written comment we found on an author's cover letter last week. To be fair, we're going to assume the author meant, "You don't actually read [cover letters], do you?" Not, "You don't actually read these [stories, essays, poems], do you?" Because the latter would be utterly ridiculous.
So, to answer this bold question quite honestly -- no. And yes. Yes and no. We read them AFTER deciding whether or not we like a piece, and we'll admit that a small fraction of our decision is based on the contents of the cover letter. Say, 1/200%. The other 99 199/200% is based on the writing. So, if you're not very good at math, you might think that cover letters are really important. And if you are good at math, include them anyway. We don't want to hear about the litter of kittens your Tabby just gave birth to, but we wouldn't mind seeing where you've been published (if you've been published) and whether or not it's a simultaneous submission.
Will we think less of you for addressing your cover letter to the generic "Fiction Editor" or "Poetry Editor"? No. Will we think you're kissing up if you address it to Steven Church, Alex Espinoza or Connie Hales? No. (Although we like kiss-ups.)
In short: Yes, include a cover letter. No, it's not going to make any difference as to whether or not we like your manuscript. Yes, we like kiss-ups. Does that help?
If you want any additional logistical info as to what to include, you might want to check out About.com's "Cover Letter Advice." Thanks, About.com. We couldn't have said it better ourselves.