Why is it there? a gag?
It was a gift from NaN (Not a Number) before they went bankrupt.
I think it is more of a little gimmiky thing but many members find it useful to render out tests of new features with it.
You can compare it to the Utah Teapot other 3D modelers have. The point of such things is usually to serve as a quick model to test materials and lighting on, like CD said. Other than that, Suzanne (the monkey) has inspired several awards named after her! 
How about a Monkey Teapot?
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Hah…that’s a good one AndyD.
It needs a top :).
Awesome AndyD!
The monkeys kind of just an ‘Easter egg’ that’s meant to be found.
It’s also occasionally found inside the Default Cube:
http://blenderartists.org/forum/showthread.php?t=82783&highlight=inside+default+cube