Conservation of angular momentum.
Back when the Solar System was clumping together from the remnants of an old star, it was spinning. This was because the Milky Way was spinning. I don't really know why the galaxies spin. Think of a teacup ride at the fair.

Anyway, the spinning dust cloud starts to clump together to form the Sun and all the planets, and much like when an ice skater brings in their arms and legs during a twist to go faster, as they get smaller and denser, they retain all that spin. Hence, spinning planets. Except Uranus, which does spin, but perpendicular to the rest of them.

Plus, the spin means that gravity is very slightly counteracted at the equator by a tiny amount - xkcd.com/852/

SCIENCE!*

_{*(Mainly just regurgitating various documentaries, but I'm taking a degree to learn the math!)}
( Mr.Ons knows you can hear him, Earthmen., Tue 8 Mar 2011, 9:18, Reply)