Preheating an oven serves a purpose. When you preheat your oven, you are using the convection heat from the hot air made by the heating elements to heat up the walls of the oven. The walls are a thermal mass that when hot enough will radiate heat to your food (infrared heating). This radiated heat has the ability to directly heat your food rather than the air only doing so by conduction when the air molecules collide with the food.

If you relied solely on the convection heating of the hot air, your baking would not be what you want as it will not have the kind of browning or crisping that radiated heat brings to the process. By combining both radiative and convection heating, your oven gives you the outcome you expect from an oven.

You could forego preheating, but some foods just won't be the same without the early dose of radiated heat. Pizzas should be baked in a preheated oven (brick ovens are awesome for this because of the radiative heating).

Really only essential if baking cakes, bread, pot brownies etc.

The heat doesn't waste, it stores up inside the oven.