As madster pointed out, this is a tricky subject.
Digital images are buit up out of units called "pixels", and it is only because these pixels are small enough and their density becomes quite high that our brain is tricked into believing we see solid forms.
A computer monitor is limited so 72 pixels in an inch. (some say Win PC have more, but that is still a question I haven't found a good answer for). This means that there are 72 small squares along the length and height of each inch you see on your monitor.
When drawing a diagonal, you obviously get a stair-stepped line. To reduce this effect, anti-aliasing was found out.
So when you work without anti-aliasing, you get a sharper line, but one that is stair-stepped. If you work with it, the line is indeed less sharp.
As always, this is a personal choice as Photoshop cannot change this basic problem.
note: that is why for print, people often use up to 300 pixels per inch. That way you will have crisp lines. Unfortunately, monitors do not allow this to be changed.