Keep in mind that Dodge is not the only option, nor is it (often) the best. The Gymnastics skill can also be used to resist ranged attacks (an option that's rather attractive to street samurai, adepts, infiltration experts, and other characters who are likely to be fairly athletic), and for close combat you are free to use your appropriate melee skill (blades, clubs, or unarmed combat) instead of Dodge in order to resist an attack (once again, enticing to anyone who's likely to have some melee ability, which often overlaps with character concepts that fit the idea of extreme athleticism).
Dodge is there as a last-ditch skill for those who would avoid close-combat skills and Gymnastics. What's more, unlike the other two, it's good only for dodging; you can't jump farther thanks to Dodge, nor can you kick someone's teeth in or stab 'em.
That said? Yes, it's worth being skilled at not getting shot/stabbed to death. I tend to make characters that would have points in Gymnastics, melee combat skills, or (much more rarely) Dodge anyways, but it's terribly useful to not die. For most characters and against most attacks, it's a whole lot easier to avoid being hit than it is to take a hit and not get hurt from it. There are certainly exceptions (Trolls, hi!), but for most characters out there I'd say it's a pretty good idea to be able to avoid getting smacked in the first place.