Most algae are harmless in small amounts, but keep an eye out for the slimey blue-green algae (cyanobacteria) as this will deplete oxygen levels in your tank.
If you have plants, too much algae build up on the plant will block the plant from getting enough light. It will begin to die and release nutrients which then encourages more algae to grow on it. It is always a good idea to remove dead/dying leaves and clean leaves.
Another thing that I found causes algae is vacuuming your gravel. Let me explain this so that everyone does not stop vacuuming. Sometimes when you vacuum, you suck up gravel, so you turn your vacuum off or kink it. The gravel/mulm lands on plants, rocks, drifwood etc. If allowed to settle there, you will often notice algae growth. About an hour after I clean the tank and turn everything on, I gently agitate the water above plant and driftwood to remove the majority of the mulm/junk. This minimize algae growth...a decent underwater current also helps.