Well Sixpack is right. Your suspension is designed to work within a certain amount of the stroke of the shock or fork. Setting the sag gives you the full use of that range so the suspension more or less works in factory spec. Also if you have to really crank up the preload to achieve the proper sag, you probably need to look at heavier springs. Ideally, you should use no more than half your preload adjustment to get the proper sag. That will give you some adjustment for extra loads if needed. Most riders don't even pay any attention to suspension as they are focused on power and aesthetics. Suspension is the most important thing on the bike next to a great engine as it effects traction, braking, turning, comfort, and safety. But suspension isn't cheap or sexy, so people overlook it.
Oops, now I'm lecturing!