I always assumed that Sheetrock was just there to give you something to paint/keep insulation from falling into your soup/keep out bears/whatever, but apparently, it actually serves a structural purpose. It's even load-bearing, although a bit indirectly. By attaching the Sheetrock (or other panelling) to the vertical struts in the wall, you're providing additional anchor points connecting them to each other, and an additional medium through which load can be distributed. If one strut weakened for some reason (rot, an unbalanced load, etc.), and was only connected at the top and bottom, it would eventually buckle and collapse under the strain*. But with Sheetrock there, the transverse stress is transmitted to the other struts along the face. Naturally, the Sheetrock can't handle huge amounts of stress, but it only has to convey relatively small amounts in order to help keep the struts perfectly aligned, in which position they are properly disposed to carry the main vertical load.
*Tall narrow beams do not resist stress along their length terribly well-- try pushing inward on the ends of a piece of spaghetti and you'll get the idea. 2x4s are a bit better than that, but the same physical property still applies.
Source: Cat's Paws and Catapults, by Steven Vogel
