as a general (but not an official) rule, i think it's good to have an icon for any graphical, document-based apps. this means online documents (graphical web browsers,) mulitmedia (graphical media players, not including ones that only run from the command line, like mplayer nodeps,) text documents (ooo, leafpad, and xpdf,) and graphics documents (gimp.)
command line apps, apps for custom settings, burning cd's, unless it's something really designed to make a task "easy for anyone," they don't need icons. there's the argument that no one needs them, i think the first class of apps needs them more. obviously no one's going to "make" anyone create an icon for anything, if it's that important a separate extension for an icon (for another extension) can be added optionally.