WordPress releases these point releases to close up security vulnerabilities and help keep the wordpress application more secure and stable. The latest fix WordPress 2.8.6 addresses vulnerabilities with sites who have multiple authors where a contributing author can gain more access than they should have on your blog. It also closes up some cross site scripting vulnerabilities where uploaded files can be exploited to gain malicious access to your blog.
Make sure you backup your blog first and upgrade WordPress to 2.8.6 as soon as possible. I have already upgraded all 8 of the blogs that I administrate and have not seen any issues, all plug-ins appear to work without problems.
-Dragon Blogger