Here are a few reasons:
Heh... I thought the answer would be obvious, until I tried to find a website.
Even for deep-space probes, space is not a perfect vacuum, so rotation makes sense for aerodynamic (is that term still applicable?) reasons. Yes, the density is very low but the flight duration is very long.
Also, in low Earth orbit, the effect of the gravity gradient is sufficient to apply a torque to non-spherical satellites, which require rotation as a stabilizing mechanism.
Solar panels cause a torque to be exerted from radiation pressure, and in terms of thermal management, it makes sense to rotate the satellite to prevent a hot spot from occurring.
That said, there are plenty of satellites that don't rotate: Hubble, the ISS, WMAP, etc.