Depends on what you are using it for.

First, it can be a local backup of all of your notes. While we don't have much issue with this now, I imagine that large public relays will not store your notes forever, but you may want to have a full history for yourself.

You can also set up a relay as a way for a team to communicate internally, whitelisting only the npubs of the team members. Paired with a client like Flotilla, you have your own Slack/Discord community.

You can set up your own web-of-trust relay, allowing only those you follow plus those they follow to post to it. These types of relays generally have little to no spam, since spammers don't tend to get followed by anyone with a brain.

You could run a paid relay + Blossom server, which is always helpful to have more places for folks to host their media, and paid relays also tend to have little to no spam, since paying to spam gets expensive pretty fast.

You could also just run your relay for the sake of learning more about how Nostr works, with the added bonus that if you open it up to others to post to it, you are also helping keep the protocol decentralized.

I have not yet tried self hosting a client and relay together. May try this with Ditto sometime, or Coracle.