In Objective-C why should I check if self = [super init] is not nil?

I have a general question about writing init methods in Objective-C.

I see it everywhere (Apple's code, books, open source code, etc.) that an init method should check if self = [super init] is not nil before continuing with initialisation.

The default Apple template for an init method is:

- (id) init
{
    self = [super init];

    if (self != nil)
    {
        // your code here
    }

    return self;
}

Why?

I mean when is init ever going to return nil? If I called init on NSObject and got nil back, then something must be really screwed, right? And in that case, you might as well not even write a program...

Is it really that common that a class' init method may return nil? If so, in what case, and why?