I myself swear by primer for any material that is to be brush painted (of which figures is the most obvious).
I prefer to buy the expensive stuff ($10+ Canadian per can, one can will prime 50-100 figures easily if you do more than one at a time). I used to use auto spray primer and swore by it but a few years ago bought the expensive stuff and will never go back. My favorite is by Citadel (Games Workshop), it's a popular brand amongst fantasy war gamers. I think the Games Workshop primer (called 'Skull White') is made by Krylon so their primer would most likely be the same. I find the primers I mentioned to have a smother finish but.
Something Charles didn't mention... A good smooth primer coat helps hide brush strokes.
Hope this helps.