You don't have to... Usually they give you a folder with informational packets included.. When I went to my interviews, I just brought my purse and pen (I brought my mechanical pencil/eraser also - I can't deal with #2 pencils)... Others brought them, others didnt... Just your preference.
I think it makes you look prepared. But, don't expect to use it much except to jot down the contact info for the people you meet during the interview process. Keep it to something small like a legal pad or clipboard. Don't lug in a bound notebook or 3 ring binder or something tacky like that.