I don't get why value objects in DDD should be immutable, nor do I see how this is easily done. (I'm focusing on C# and Entity Framework, if that matters.)

For example, let's consider the classic Address value object. If you needed to change "123 Main St" to "123 Main Street", why should I need to construct a whole new object instead of saying myCustomer.Address.AddressLine1 = "123 Main Street"? (Even if Entity Framework supported structs, this would still be a problem, wouldn't it?)

I understand (I think) the idea that value objects don't have an identity and are part of a domain object, but can someone explain why immutability is a Good Thing?

EDIT: My final question here really should be "Can someone explain why immutability is a Good Thing as applied to Value Objects?" Sorry for the confusion!

EDIT: To clairfy, I am not asking about CLR value types (vs reference types). I'm asking about the higher level DDD concept of Value Objects.

For example, here is a hack-ish way to implement immutable value types for Entity Framework: http://rogeralsing.com/2009/05/21/entity-framework-4-immutable-value-objects. Basically, he just makes all setters private. Why go through the trouble of doing this?