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Rules have value even when they aren't particularly just or reasonable, especially when it comes to the government. The most important attribute of a government is that it writes down the rules that it will follow and then follows those rules. Without this "rule of law", everything falls apart, as you are living in a despotic system where the government is not governed by rules: the sovereign can do as he pleases and citizens have no recourse. Thus, I would rather live under a regime that was constrained by stupid and annoying rules than one that lacked any such constraints. There is nothing more dangerous than arbitrary government.
Then there's the whole Crito argument: disobeying an unjust law will undermine the authority of the governing body in general, leading to the abandonment of all the just laws, as well. Again in this example, there is a risk that the rules that protect you will disappear.
A world without rules is, to borrow a famous phrase from Sir Thomas Hobbes, "solitary, poor, nasty, brutish, and short."
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The peculiar evil of silencing the expression of an opinion is, that it is robbing the human race; posterity as well as the existing generation; those who dissent from the opinion, still more than those who hold it. If the opinion is right, they are deprived of the opportunity of exchanging error for truth: if wrong, they lose, what is almost as great a benefit, the clearer perception and livelier impression of truth, produced by its collision with error. ~John Stuart Mill, On Liberty
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