Why polish a yo-yo?
To remove fingerprints, tarnish, and just make it look better.

What should I use?
The SB2 manual recommends Nevr-Dull Magic Wadding polish, it leaves the yo-yo looking shiny and new. Personally I find it a little abrasive; I use brass polish (also recommended in the sb2 manual). Do not use these to polish anodized aluminum, as they make strip the anodization.