Why you ask? Because when butter is at room temperature you can cream it properly with sugar so that it will hold more air. If you try to cream cold butter with sugar you will end up with a clumpy, lumpy mess. When eggs are at room temp they will act as an emulsifier because they can be fully incorporated into the batter.
In layman's terms: when all of your ingredients are at room temperature they will produce a cake with a more tender crumb, and the cake will also rise to it's highest level and bake more evenly. And that (to borrow Martha Stewart's famous words) is a good thing.
You can achieve this by setting your eggs, milk and butter out 60-90 minutes prior to baking. *Make sure you don't set your butter out too soon or it will be too soft. When you press the butter you should be able to see your finger print indention. If you press it and the butter won't give it's too cold....if you press it and it completely squashes back it's too warm.*
But what happens when you decide spur of the moment that you want to bake a cake? Or what about when you need to start baking immediately upon arriving home from a long day's work? Luckily there are a few ways to speed up this process and cut down on your wait time.
Most people just put a stick of butter in the microwave for a bit to soften it up, but unfortunately this causes different parts of your butter to melt at different rates: the outside will be completely melted and the inside will still be solid. The best solution is to cut your butter into thin slices (the thinner the better). More surface area=faster warming time.
Eggs can be brought to room temperature faster by using warm water. Simply place eggs into a bowl of warm (but not too hot!) water. If you get the water too hot it can cook the eggs.
The same goes for milk as well. Just set your glass of pre-measured milk into a bowl of warm water.
Chillin....or I guess I should say "warming"
You still have to wait for a bit, but it certainly reduces this amount of time. And trust me, it's well worth the wait because your cake will come out better!