I really appreciated the November 2009 Forum on Why we use the alternated grip for the deadlift. As a relative beginner I wondered the same thing, and my Strength and Conditioning text just said to use it, without a reason. That Forum shows each grip (prone and supinated) puts a different stress on the body. Goochadamg (11-24-2009) gives a great explanation that each grip keeps the bar from rolling in a different direction.
Is important to switch the grips between hands from time to time? I'm a lot more comfortable with my right hand prone and left hand up.