There are two forms of sitemaps that you should place on your website.  The first form of a sitemap is an html representation of the structure of your site that end users can use to locate content and navigate to particular areas of your website.  Your HTML sitemap should include links to all the main content areas of the site plus an appropriate number of levels deep of content.  The number of levels you want to use will be dependent on the structure of your site.  You might want to consider keeping the number of links in the sitemap to approximately 100 links.  Your HTML sitemap will be most valuable if you place a link to it in your standard page template, or in the case of an ASP.NET website, in your master page.  This will ensure that users that land on a particular page in your site will be able to locate the sitemap with a single click and use that to find additional content.  The HTML sitemap is really designed to be useful for your end users, but it also helps spiders as it will contain links to all the main content areas of the site, ensuring that spiders can locate most pages in your site quite quickly.  An HTML sitemap won't help influence your search engine rankings.

The other type of sitemap is an HTML sitemap.  This is an xml file format invented by Google to assist in submitting your site to Google.  It wasn't long before all search engines supported the Google sitemap format.  This sitemap mechanism is designed to make it easier for webmasters to submit their pages to the search engine for inclusion in the search catalogs.  Before this, the only way for a search engine to discover new pages in your site was for it to spider the site and look for new links.  This involves retrieving all of your page content on a regular basis.  One of the problems with this mechanism is that there are many scenarios where not all pages have an inbound link from other pages in the site, and because of the use of web applications and querystrings, it was common for there to be endless loops of links in a site.  As such, search engines had to place careful throttling mechanisms in their spiders, which also have the effect that not all pages would be discovered in a site.  An XML sitemap is a mechanism that allows a webmaster to submit a complete list of links for their site.  Now the search engines can use this file as a master reference for all urls in your site.  The use of an XML sitemap won't necessarily help with your search engine ranking, but it definitely will not hurt it, and if used appropriately, will definitely have a positive effect on getting as many of your pages in the search catalog as possible.  That said, it is no magic bullet, because the search engines can still decide which pages are going to be included in the index and which will not, and how frequently the site is indexed.