Thing is though that the at-will employment relationship is very much lopsided in favor of the employer.
Sure, you can just quit and walk away whenever you want to - but why would you do that? Your boss sucks? The environment is terrible? You've got a better offer somewhere else? In pretty much every case, the professional thing is to tough it out for two weeks and give notice at your current employer.
There's almost nothing, short of illegal activities or conditions, that makes it okay to just walk away without warning - while in theory you have the power to do so, in practice actually doing so without a really really good reason will get you blackballed in the industry as an untrustworthy flake.
And even if you do decide to just walk out, it's still not something you can do on a whim - you really need to make sure you've got something to keep you afloat while looking for a new job, if you're going to just abandon ship like that. Since you'll have to plan it anyway, there's really no reason to give your current employer the middle finger and just walk out on them.
On the other hand, in an at-will environment, the company can fire you for no reason whenever they want to. And they will. The company has pretty much zero incentive to give warning, and garners zero negative publicity for doing so. They're not going to worry about your mortgage payments, or how you're going to find money for food or gas - they'll just do it, preferably out of the blue.
So yeah, while "at will" sounds like a great system, in practice it hands all the power over to the employer while retaining nothing for the employees.