It's essential!
The older versions have security holes and leave you computer open to attack, even if you have the latest version installed, because the writer of a Java applet (program) can specify which version to use to run the program.
For example, the writer writes a line of code which says:
"Use version 1.4.2 if present on computer"
The applet will then ignore 1.5.x and use 1.4.2 to infect your machine.
No new version of Java depends on an older version, so you can safely remove them.