You may always try to install a game by just copying the floppy disks' contents onto the hard drive, or use the install program they may provide.
But on the one hand, some game disks don't use any file system, so that they can't be installed. And on the other hand, most Amiga games were designed for a basic Amiga from 1986-87, so that they don't run fine or don't run at all on more powerful or later systems. That's where WHDLoad is useful : it will let you install games (and demos) that otherwise could not be installed, and will help you run games on any Amiga.
While WHDLoad is the best solution in most cases, some WHDLoad installers are still far from perfect, so that on some setups you will get better results without WHDLoad.