Check valves keep water from siphoning back into your regulator or solenoid if the CO2 source runs out. This can damage electrical components or rust some metals. If nothing else, it means system has to push all the water out of the system before it can resume pushing air through it. If you have the line split to many tanks, this can mean that one or more lines are essentially clogged while all the air goes to those without water. You should put the checkvalve at the point where the hose leaves the aquarium. That way, if the hose becomes disconnected from your CO2 source, it won't siphon water out of the tank onto the floor.
I use the cheap plastic ones and replace as necessary. They aren't failsafe, but they've been good enough for the $2 they cost.