Because heat attracts dust, radiators will accumulate a layer of the stuff in no time and, if you think about it, that will inhibit all that lovely (paid for!) heat from being released into the room.
How you clean them will depend on the shape of your rads, but a good idea is to kick off with the narrowest nozzle of the vacuum cleaner. Then take a duster – always very slightly dampened so that the dust will stick to it rather than fly around the room to land elsewhere – and get in to as many nooks and crannies as you can.
It can take a while, but it’s time well spent and you won’t have to do it that often.