While a lanyard can help you retain your blade and help you to adjust the useful length of your blade, I only have a lanyard on my SAK. And it is primarily, as norad45 said, to have a little bit of cordage, and secondarily, to make it easier to take it out. I personally do not like the potential of a free swinging blade attached to me. I also don't normally use a fixed blade knife as a chopper.

I do like and use a lanyard on flashlights though.