There are like 20 different metabolic disorders that they check for in that test, if I remember what the midwife told me correctly. Most of them are pretty rare, but as the others have said, knowing about them right after birth makes prevention/treatment much more effective.

As far as practicalities go - my first two girls were done at the hospital, and they cried and I cried. They were lying in those plastic nursery bed things on wheels that hospitals have and I knew they were hungry and I felt like a horrible mother for letting them be hurt like that. The nurses could never seem to get enough blood. They kept squeezing and pulling on their feet. And, of course, a post-partum mother is not one of the world's most rational creatures. I felt terrible.
With my third (born at home) things went beautifully! The midwife wrapped her heel in a warm wash cloth for a few minutes, while I nursed her. When her heel was nice and warm, I put her up on my shoulder and they picked the heel - two seconds later, it was all done, and she never made a peep.
Just for the record - there is apparently a very small risk of damaging a nerve in the foot during that test. I was unaware of that until my third baby was born as well. Now, I wouldn't skip the test for that, but I think mothers should always be aware of the risks and benefits. And, you would know to watch for anything odd with that foot.
All the best with your up-coming birth!