The first sewing/embroidery machine I bought came with software and I got hooked. I really didn't know any different so I still use software with the machine I have now.
There seem to be many people that don't use software so depending on your machine, why buy software if you're not interested in using it? I know that the dealer I buy from sells designs that can be downloaded directly to a memory stick and then used in the machine.
Have fun with your search and your purchase. For me, the most important thing has ended up being the size of the hoop that my machine can use. The 5x7 hoop would be the minimum for what I like to stitch.