See Continuous Integration: Benefits of Continuous Integration :
On the whole I think the greatest and most wide ranging benefit of Continuous Integration is reduced risk. My mind still floats back to that early software project I mentioned in my first paragraph. There they were at the end (they hoped) of a long project, yet with no real idea of how long it would be before they were done.
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As a result projects with Continuous Integration tend to have dramatically less bugs, both in production and in process. However I should stress that the degree of this benefit is directly tied to how good your test suite is. You should find that it's not too difficult to build a test suite that makes a noticeable difference. Usually, however, it takes a while before a team really gets to the low level of bugs that they have the potential to reach. Getting there means constantly working on and improving your tests.
If you have continuous integration, it removes one of the biggest barriers to frequent deployment. Frequent deployment is valuable because it allows your users to get new features more rapidly, to give more rapid feedback on those features, and generally become more collaborative in the development cycle. This helps break down the barriers between customers and development - barriers which I believe are the biggest barriers to successful software development.
From my personal experience, setting up a build server and implementing CI process, really changes the way the project is conducted. The act of producing a build becomes an uneventful everyday thing, because you literally do it every day. This allows you to catch things earlier and be more agile.
Also note that setting build server is only a part of the CI process, which includes setting up tests and ultimately automating the deployment (very useful).
Another side-effect benefit that often doen't get mentioned is that CI tools like CruiseControl.NET becomes the central issuer of all version numbers for all branches, including internal RCs. You could then enforce your team to always ship a build that came out of the CI tool, even if it's a custom version of the product.