Below is a copy of an answer I gave here http://stats.stackexchange.com/questions/2932/metric-spaces-and-the-support-of-a-random-variable/20769#20769
Here are some technical conveniences of separable metric spaces
(a) If $X$ and $X'$ take values in a separable metric space $(E,d)$ then the event $\{X=X'\}$ is measurable, and this allows to define random variables in the elegant way: a random variable is the equivalence class of $X$ for the "almost surely equals" relation (note that the normed vector space $L^p$ is a set of equivalence class)
(b) The distance $d(X,X')$ between the two $E$-valued r.v. $X, X'$ is measurable; in passing this allows to define the space $L^0$ of random variables equipped with the topology of convergence in probability
(c) Simple r.v. (those taking only finitely many values) are dense in $L^0$
And some techical conveniences of complete separable (Polish) metric spaces :
(d) Existence of the conditional law of a Polish-valued r.v.
(e) Given a morphism between probability spaces, a Polish-valued r.v. on the first probability space always has a copy in the second one