That rather depends on the business. In some businesses, especially entertainment related, a lot depends on the owner having a public presence, and building up followers on Twitter, having a lively Facebook presence etc, as well as probably blogging actively and keeping your company website up to date, are all important.
However, it is possible to spend so much time keeping up with your social media that you don't get time to do the business that you are actually advertising.
For you as an individual, you may well find that time spend working on your LinkedIn profile and extending your list of contacts is more profitable than time spent on your Twitter account, for instance. If you find that other social media work for you, though, it's a good idea to get the benefit. You should be selective - one or two networks in addition to your own website and LinkedIn account should be plenty - and you could consider actually paying someone to manage some of this for you. It's quite easy to find a writer to keep up your blog or manage other general media for you, and they don't usually charge a lot either.