There are two principal reasons why ductwork is insulated: to prevent heat transfer to the environs to/from the air in the duct and to prevent condensation.
Condensation is a big problem in humid climates. When the cooling system starts up in the morning, for example, cold air will be moving through ducts that may pass through a ceiling space, mechanical room, or another area that has warm, humid air within. If the air temperature in the duct is lower than the dew point of the environment, condensation will occur. Insulating the duct alleviates this problem because it raises the temperature of the outside surface of the duct assembly by reducing heat transfer to the air stream.
The insulation requirement for ductwork to avoid condensation is a function of the ambient humidity and temperature, plus the damage to ceiling or furnishings that might result. The minimum amount of insulation should be used that will keep the outside surface of the ductwork below the dew point at the worst expected conditions.
Insulation should also be used whenever the ductwork passes through unconditioned spaces, to minimize heat transfer. This includes duct in the ceiling space, mechanical rooms, and unconditioned storerooms. Additional insulation should be installed on ductwork run in attics and exterior to the building shell.
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Excerpt from Energy Conservation Projects.