junit will mark a test as being in "error state" if an exception is thrown from that method. For most usecases, this is essentially the same as failing a test (in the sense that a test that completed in error state did not succeed). A lot of test authors don't like the hassle (or the code-uglification) associated with handling checked exceptions.
E.g., Consider a test that should run a couple of methods and assert the end state of an object:
public class SomeTest
    SomeObject so;
    @Before
    public void setUp() {
        so = new SomeObject();
    }
    @Test
    public void TestSomeFlow() {
        try {
            so.init();
        // must catch in order to avoid a compilation error
        } catch (InitExceptionIDontCareAbout e) {
            fail ("init failed");
        }
        try {
            so.doSomething();
        // must catch in order to avoid a compilation error
        } catch (SomeOtherExceptionIDontCareAbout e) {
            fail ("doSomething failed");
        }
        assertTrue ("doSomething didn't work", so.isSomethingDone());
    }
}
Now consider how much cleaner the code looks without exception handling:
public class SomeTest
    SomeObject so;
    @Before
    public void setUp() {
        so = new SomeObject();
    }
    // Any exception throwm will mean the test did not succeed
    @Test
    public void TestSomeFlow() throws Exception {
        so.init();
        so.doSomething();
        assertTrue ("doSomething didn't work", so.isSomethingDone());
    }
}