You can buy a strainer that fits over your bucket / funnel to keep a good amount of trub (aka 'sludge') out of the fermentor.
Adding Whirlfloc / Irish Moss at the 20 minute mark will help trub settle out.
A whirlpool helps, but if you're picking up the kettle and dumping it out, I doubt its worth the trouble.
Like erockrph said - only matters in lighter flavored beers. I would add that if you're making small batch sizes, reusing the yeast, or leaving the beer in primary for more than 2-3 weeks, straining may be worth considering.
As in all things - RDWHAHB