The government exists primarily to enforce laws that we have come to live with. That capitalist society we enjoy (with it's drawbacks, I'll get to there)is hardly a natural thing. The laws that were written in eighteenth century England have essentially created the economic world we have today. If this system were to break down, the resulting chaos would not be a pretty place. The government must exist in the form of courts and law enforcements to preserve (or change, if that is desired) the system.
Next, the government exists as an alternative to our market system should the market system fail. It does fail, and fails often, typically due to free-rider problems. The government also has a duty to ensure the market provides a sufficient number of the basic resources required for life (food, shelter, etc.).
Third, the government exists to defend us militarily from outsiders. I am for the most part satisfied with the way my country works. I would not want my country to be over run and destabilized by foreigners with their own ideas, whether they be Islamo-Fascists, neoconservatives, Stalinists, a Mongolian Horde, or Martians. Any change to the system should be affected democratically, not by force of arms.
An extension of this point deals with peacekeeping. There are many nations in the world that do not enjoy our level of stability. Should the people or government of the people desire our help, the government should at least consider taking military action.
(The tricky thing is to determine what is in the best interest of various parties, but that's a whole other discussion
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