I only just saw this question now, and I have not read all of the responses, so forgive me if I am repeating anything. I would like to share what happened to my SIL when she opted out of having her older son go to preschool:
SIL did not do preschool with her then 4-year-old son because she did not feel it was necessary. She was a SAHM and her son was very clingy and shy - she had not done much in the way of socializing and often was concerned about how "clingy" he was. She thought this would make it too difficult for him to go to preschool and she also believed she could teach him "every thing he needs" herself at home. Problem was, she wasn't teaching him anything. Not saying that you are doing this, but she basically let him watch TV all day long. And did not have him in any other activities that got him around other kids. She thought preschool was just about learning to count and learning their ABCs and she thought she could just do that herself just as well.
What she did not understand was how important pre-school was for getting ready for kindergarten. Her son had never been away from her for any significant length of time. He had never been expected to follow directions or listen to an adult authority figure beside his parents. He did not know how to play or make friends with other kids he didn't know. Preschool is so much more than ABCs and 123s - it's interacting with other kids, and learning to get along in a group (sharing, taking turns, etc.) and getting used to being away from Mom for a while, knowing that she will come back. As much as we want to be everything and teach everything to our children, there are some things that they can only learn from being around other children.
So fast-forward 1 year - now SIL's son is 5 (granted, a young 5 - his b-day is August and the cut-off is Sept. 1). Mom is still nervous about how clingy he is and has no idea how to prepare him for kindergarten - she does nothing to help him get used to the idea (visit the school, meet the teacher, etc.). IT WAS A NIGHTMARE! She drove him to school and she could not get him out of the car. She had to drag him kicking and screaming into the school and then he would run back after her when she went to her car, crying that he wanted to come home. He needed the teacher or one of the other staff members to meet them in front of the school every morning to walk him into the building just so Mom could leave. This went on for 2 MONTHS. The kindergarten program was just half a day, but after a month or so, the teacher was recommending a full day for him because according to my SIL he "was not on par with the other kids." Then after a year of full-day kindergarten, they made the determination that he was still not ready for first grade and they advised he repeat kindergarten and do another year of the full-day program (which I know happens to lot of kids, and my SIL did agree to it.)
Now I am not saying that a year of pre-school when he was 4 would have made all the difference, but I have to think it would have made life so much easier once kindergarten rolled around. Kindergarten these days is so much more academic than when we were kids, and there's more that they are expected to know and learn, that 4-year-old preschool is practially a requirement if they are going to be ready for the next step.
Lots of kids are initially a little scared of new situations and going outside their "comfort zone" but sometimes they really need a gentle push into the deep end of the pool to help them get over their fears. Many kids will cry initially when they are left, but most will stop within 5 minutes of you leaving. They need the chance to grow and discover what they are capable of. And, as one parent once said to me, there are certain things that kids need to learn that you can't teach them - they can only learn them from other kids.
Good luck, I hope this helps! :)