Here in germany its also not mandatory if you're a 'normal' employee. But many people do it anyway, as its possible to get some money back from the state this way.
As the tax laws are complicated and change a lot, there exists several applications (about 10 - 40 ) that help with the appliance, including tips and give suggestions.
The government provides a proprietary freeware (windows, wine) solution, but this is more or less only an electronic version of the paper version, it obviously doesn't contain that much helpful informations.. So i use for this purpose a small dedicated virtualbox instance.