Why is including a header file such an evil thing?

I have seen many explanations on when to use forward declarations over including header files, but few of them go into why it is important to do so. Some of the reasons I have seen include the following:

• compilation speed
• reducing complexity of header file management
• removing cyclic dependencies

Coming from a .net background I find header management frustrating. I have this feeling I need to master forward declarations, but I have been scrapping by on includes so far.

Why cannot the compiler work for me and figure out my dependencies using one mechanism (includes)?

How do forward declarations speed up compilations since at some point the object referenced will need to be compiled?

I can buy the argument for reduced complexity, but what would a practical example of this be?