The CPF (or say pay effie) is a must-have if you are going to spend much time in Rio or make any major purchases. From what I can tell, it's like a Social Insurance Number in Canada (or "Social Security" number in the US). I have one. I was told when I got it that I would never need it. In reality, I need it all the time.
It's interesting to me that in a country where you are told explicitly never to give any information over the phone to anyone, (even so much as your name!) that we are asked for our CPF number constantly - in fact the other day when I was getting a manicure done, they asked me for it so they could put me in the computer system.
I guess the idea behind this is that the government can track the spending of its people because merchants are "required" to get the CPF of the customer whenever there a note fiscal or receipt is given. Obviously this does not happen every single time, but there have been many instances where I have been refused when I have been trying to buy things because I didn't give my CPF. (Things meaning big ticket items like furniture. At first I didn't always have it with me!)
I find this bureaucracy to be ridiculous, considering that I have yet to get an "accurate" head count for how many people live in Rio, let alone Brazil, and so on and so forth. This CPF tracking is an enormous waste of time and resources. A major frustration for foreigners (and I would imagine locals alike).
So if you are moving to Rio, make sure that you get a CPF... and don't be shocked that you might have to give some guy's brother $R50 to get it...