Being able to hear intervals by ear will make playing music in general easier and it will make you much better at learning songs by ear and transcribing. It also helps your songwriting!
You don't have to buy anything to learn intervals by ear.
There are free interval ear trainers available online. Of my favorites can be found here:http://www.good-ear.com/
You can also do this on your guitar. A very good exersize for learning intervals is this:
1) Play the interval
2) Play the interval while singing along
3) Sing the interval without the guitar. It takes practice, but be patient.
4) Do this with all intervals.