I think it all has to do with good coding style. Of course you can write good, robust programs without using a lot of final modifiers anywhere, but when you think about it...
Adding final to all things which should not change simply narrows down the possibilities that you (or the next programmer, working on your code) will misinterpret or misuse the thought process which resulted in your code. At least it should ring some bells when they now want to change your previously immutable thing.
At first, it kind of looks awkward to see a lot of final keywords in your code, but pretty soon you'll stop noticing the word itself and will simply think, that-thing-will-never-change-from-this-point-on (you can take it from me ;-)
I think it's good practice. I am not using it all the time, but when I can and it makes sense to label something final I'll do it.