Not sure why UX is in the title when this is applicable for all design roles, in my opinion.
Regardless, I completely agree with the sentiments here. It can be hard to describe your process for work (particularly if you weren't capturing it as you worked through a project), but seeing some of that thought process (whether it's on the portfolio itself or at least linked to) is immensely powerful.
The reason is clear: nearly anyone can use Photoshop these days to make a Dribbble-worthy image. Not everyone can accurately identify and describe problems worth solving, then articulate some level of detail about how they would (or have) gone about solving it.
Pretty images aren't what sell a designer. It's the ideas and solutions those designs convey that matters.
A few weeks back at one of our local meetup groups, we were talking about case studies... what they were and why you need them in your portfolio. Brittany compiled a few notes and finally posted them.
Makes for a nice checklist that you can reference when you're building your portfolio!