Update: My brother, Fr. Charlie, pointed out to me an excerpt of Pope Benedict XVI's new book, Jesus of Nazareth (978-0385523417), on MSNBC.com; the topic of the excerpt is the meaning behind the baptism of Jesus.
The baptism of Jesus in the Jordan has been a matter of debate in the past. Why would the sinless Son of God need to be baptized in the manner of the sinners in Israel? Matthew records the meeting between John the Baptist and Jesus (cf. Matthew 3:13-17); John asks Jesus, "you come to me?" to which Jesus replies, "Let it be so now; for thus it is fitting for us to fulfill all righteousness." John would not have been hesitant to baptize Jesus if he thought there was any cause for sin in Jesus, so John must have known Jesus's sinless nature.
I have read various speculations about what it meant to "fulfill all righteousness". Some interpret this to mean that Jesus, in being baptized, consecrated all waters for baptism so that this great sacrament of grace, of initiation into the death and resurrection of Jesus Christ, could be performed anywhere, not just in the Jordan. This makes a lot of sense, and is quite likely to be one of the meanings behind this passage of Scripture.
But there is something even deeper. Jesus's baptism was unlike any other baptism. No other man or woman entering the Jordan had the Holy Spirit alight upon him or her like a dove. No other baptism caused a voice to proclaim from Heaven, "This is my beloved Son". After Jesus, there is no other Messiah. But before Jesus, there were Messiahs. Not false Messiahs, but true ones. "Messiah" comes from the Hebrew, "Christ" comes from the Greek: both mean "Anointed". Truly Jesus is the Anointed One of God, the Christ. It was not the fact that he was anointed that made him the Last Messiah, but a) who he is (God Incarnate), and b) the manner of his anointing.
A survey of anointing in the Old Testament revealed to me that it involved the marking of a person or thing with oil. (In the Catholic Church today, this happens at Baptism and Confirmation, during Holy Orders and Extreme Unction.) The use of oil, it seems, was integral to the anointing. In the area of Luz, Jacob anointed a stone with oil and renamed the place Bethel (in Genesis 28 and again in Genesis 35). The Mosiac Law describes the ordination process for the priests in the line of Aaron (Exodus 28:41-29:9) including the anointing of their heads with oil. Saul and David were anointed by Samuel (1 Samuel 9:15-16; 16:12-13). Zadok and Nathan anointed Solomon (1 Kings 1:33-40). Elisha commissioned a prophet to anoint Jehu as king of Israel (2 Kings 9:1-13). The list goes on.
Jesus was anointed in the Jordan by water alone; John the Baptist was a Levite, as was his father before him. The Spirit was already upon him, as he is God the Son, God Incarnate, Word Made Flesh; he was identified as the Lord's Christ by Simeon at his circumcision (cf. Luke 2:25-35), and he manifested his wisdom at the age of 12 in Jerusalem (cf. Luke 2:41-52). The baptism in the Jordan, then, was the public identification of Jesus as Christ, to make him known.
I could be wrong. This isn't a hinge of the faith, just an interpretation to explain why Jesus received water baptism.