I think fundamentally, the reason why we have government, even on the smaller scale tribal level, is because humans are social creatures. We rely on one another for self-regulation since we are not skilled enough to survive solo. A lot of people will counter that and say "I can survive solo." Maybe you can... but everything you use, all your tools, your equipment, your food, your resources, more often than not initially come from civilization or were handed down to you by other humans. Humans don't tend to survive alone forever.
So, because we are social, we must be interact. Because we interact and have different opinions on things and which values are more important, chaos can occur. We appoint government (or government appoints itself by force) to dictate, organize and enforce values in order to reduce chaos and produce order. It also forces a group of people to cooperate, despite their differences, otherwise groups would splinter into far more vulnerable individuals, or they would be in-fighting.
Think about how much discussion it takes for a group of five people to reach consensus. Now multiply that by orders of magntitude... by 10, then 100, then 1000, then a million. I think it was the Dunbar study which suggested that 150 people is the ideal size of a community for good social cohesion. Beyond that, reaching consensus is almost impossible without a governing body. So the group appoints leaders to make important decisions, sacrificing some of their freedom and agreeing to the rule of law, in exchange for an administration that will make its sole purpose the regulation and governing of society.
Government limits your freedom, but at the same time it gives you freedom that would otherwise be curtailed by all the time it would take for all of the social actors to organize themselves. Freedom is exchanged for a sub-group to focus on organizing more highly complex systems, which makes life better for everyone.
I do realize the flaw of what I'm saying though... which is that when we are born, we're not really given a choice about who governs us. They just do. Democracy tries to offset this a bit, but it's not ideal. I don't agree with some earlier posters in this thread who say that religion is responsible for governance. Most tribal societies are not governed by religion, but by the eldest people, and they are appointed for their lived wisdom.