There are a couple of good reasons to have some kind of temperature control: If your iron is too hot, you can too easily cause the traces on PC boards to come unstuck from the substrate and lift up. You can also damage ICs and other components if you apply too much heat. Reducing the temperature will help avoid that. Also, if you only use the iron intermittently throughout the day, you can reduce the heat to a "standby" temperature when not using it. This will prolong the life of the tip and heating element, but will allow you to quickly bring it back up to full temp, a lot faster than if you had completely turned it off.
Always keep the tip coated with a blob of solder when it's idling- this helps prevent oxidation and corrosion. Then sponge it off when ready to solder another joint.
If your iron is like most simple "stand-alone" types, it has a resistive heating element that is driven directly from the AC wall outlet, with no transformers or electronics in the circuit. Essentially, your soldering iron is just a dim light bulb, and an easy way to adjust its temperature is, therefore, a common cheap light dimmer. I know of none that can't handle even the largest of soldering irons. You can pick one up at any home improvement store. You can use a Variac to throttle the voltage, too, but that can be expensive and bulky.
Of course, a real soldering station will probably have temperature sensors and feedback circuits that will maintain the desired tip temp no matter what load you put on it. A light dimmer won't do that, but it's still a useful attachment.
By the way, DimensionDude's Weller uses tips that have a metal slug in them that will attract a magnet. The slug attracts a magnetic switch within the barrel of the soldering iron, which causes current to flow and the tip to heat. When the slug reaches its "Curie point", it will no longer attract the magnetic switch, so the current is turned off and the tip cools. As it cools, it will again attract the magnet and the process repeats. Tips are marked for different temps, and each has an alloy slug whose Curie point is the specified temperature. You change the temperature of these soldering stations only by changing tips- there's no adjustment knob. An interesting experiment is to stick a Weller tip on a magnet and then heat the tip (not the magnet- heat can damage most magnets) with a flame. At the right temperature, the tip will fall away from the magnet.
carlsson said:
... Still noone answered the question whether temperature control is a luxury only for professional users - those solder stations are radically more expensive than a simple iron.