A latex primer for drywall is a must. Primers seal the surface to equalize paint absorption, and minimize surface texture variations.
Not a Sealer: Some people confuse drywall primers with sealers. It's important to differentiate between the two. Sealers do just the opposite of what primers do. With a high resin content and low pigment content, sealers create a barrier resistant to paint.
Preventing Yellowing: You shouldn't let drywall sit too long unpainted after it's been taped and sanded, particularly if it's surface will have any direct sunlight falling on it for any time. Drywall facing paper can fade or yellow, and it may cause a slight bleeding-through and show a noticeable streaking effect. If facing paper has yellowed at all, you should seal the drywall with a top-quality latex stain-resistant paint prior to putting on the primer coat.
Priming gypsum board drywall must be done; there's no getting around it. So, in a nutshell, buy the highest quality primer you can afford - either latex or oil/alkyd - and apply it to your drywall well before painting. Not only will it look better, you'll have lower, long-term maintenance costs by not having to repaint sooner than if you bit the bullet and primed.
Painting new Drywall
Choosing a drywall Primer
Drywall Painting, Sanding and Priming