Everyone should, anyway.
In a roleplaying game, the Narrator is the obvious example of someone with an agenda. If the Narrator doesn't have something to present to the players, then the game doesn't happen. Whether it's a villainous plot by the Nome King or some new corner of Oz to explore, the Narrator needs to have some kind of plan in order for the game to move forward.
In my experience, a lot of players come to the table without an agenda. I find this very frustrating as a Narrator, since that means I have to be not only the ringmaster, but the circus as well (how's that for a metaphor?). When I've brought this up, these players have waffled, claiming that they didn't know the rules or the world well enough to do that sort of thing. So perhaps it can be chalked up to comfort level.
Agendas don't have to be big, though. In fact, the best ones are small ones. No need to sign up your character for an epic quest for the one-armed man who stole your magic sword every time you play. Just find some small way to express your character in every scene.
A good example of this would be Corbin the Bear from my Adventures in Oz playtest. His agenda was formality. Everything had to be done in the proper way. Exactly what this way was often wound up being very humorous and enriched play greatly.
In the game I'm currently running (not Oz, unfortunately) one of the characters is a mental patient who found himself in charge of the asylum. As he undertakes his adventures, he tries to psychoanalyze everyone he meets. When the group gets into fights, this character distracts opponents by asking them about their mothers and things like that.
Update on the poll: Adventures in Oz: Beyond the Deadly Desert was in the lead for a day or two, but now it's tied with Real Raw Wrestling. Just 7 days left to vote!