Of course, they do have to land on mars, don't they? Isn't this roughly similar (and thus similarly as challenging) as earth re-entry?
I think it was someone working on Curiosity that said mars has just enough of an atmosphere that you have to worry about it, but not quite enough to be useful.
And bearing in mind that when your spacecraft hits the martian atmosphere, it was traveling at interplanetary transit speeds, much greater than orbital speed.
It certainly is useful and you can still shed 90-95% of the inbound orbital velocity or even that from an interplanetary trajectory with a reasonable heat shield. It would be far more difficult if Mars were completely airless. You still need retrorockets for landing big payloads but at a discount.
Though the other atmosphered bodies in our solar system: Earth, Venus (cloud deck), Titan can be achieveable with just parachutes.
I could be wrong about him saying that in Roving Mars (I can't exactly grep my paperback copy, and Google isn't helping), but I'm pretty sure it wasn't on the subject of Curiosity... I heard it in 2006 or 2007, while Curiosity was still called the Mars Science Laboratory.