From the authors of Metasploit Unleashed (link on the right):
The Metasploit Framework (MSF) is far more than just a collection of exploits. It’s an infrastructure that you can build upon and utilize for your custom needs. This allows you to concentrate on your unique environment, and not have to reinvent the wheel. I consider the MSF to be one of the single most useful auditing tools freely available to security professionals today. From a wide array of commercial grade exploits and an extensive exploit development environment, all the way to network information gathering tools and web vulnerability plugins, the Metasploit Framework provides a truly impressive work environment.
Says it all, really! I have Kali Linux set up on at least one Linux-dedicated box (along with some other distros), as well as within a VM on my Windows 10 laptop; I also have the Metasploitable Linux VM running so that I can play around with Kali within my own network environment (far from prying eyes!) and keep my skills honed and my tools sharpened.