Continuous Build is a very vital aspect of Agile Methodology. It helps you recover quickly and allows bugs to be discovered early. It also put focus on Continuous Integration which is a entirely different subject altogether.
The concept of Continuous build implies that the code should be checked out from the repository often and the test should be carried out frequently to ensure that the builds are stable. The interesting aspect of this is to let all stake holders know that no bugs are getting committed into the build. The purpose of Continuous Builds can be achieved only if your code has high test coverage.
Carrying this task manually can be a big pain so if you rely on tools like JUnit to provide testing automation CB can be achieved fairly easily with the help of other tools like Hudson, Continuum etc.
These tools provides lot of Metrics and information, mainly about the changes in repository (CVS / SVN etc) since the last build. Who did the commits and for what reasons. Whom to notify if the build fails etc.. And these are important business directives for any project. As you can read all quality manuals and they will say bugs point out early in the project life cycle can save big bucks later..
Hudson and Continuum are two open source software which are very light weight and can be setup for most of the projects very quickly.