Daniel Wolpert has a TED talk where he makes this point [1]. And I think he's basically got it right. Certainly there are organisms that can move without a nervous system (single celled amoebas, venus fly traps, etc) but by and large you need an (electrical) brain if you are going to react to something on a fast timescale.

1. http://www.ted.com/talks/daniel_wolpert_the_real_reason_for_...