As Dieselman says; it helps to protect the catalyser on a cold start and I'm told reduces emmisions until the engine warms up sufficiently.
Until recently, (see other thread), mine made subdued chuffing noises as the pump did its job for a couple of minutes when starting from cold, then the thermostatic clutch built into the front pulley disengages the pump but the pulley still rotates because it forms part of the fan-belt route.
I'm told that not all cars had the pump fitted and I did consider changing all the brackets over to dispense with the pump, but as ever it's more complicated than it appears at first and entails changing the front engine cover; hence I'm looking for a reconditioned unit.
Still, as people at work have pointed out, my Merc is still quieter than their cars even with a rattling pulley!!