TL;DR Euclid's proof guarantees that there will be a larger prime than the largest yet known, but does not appear to be a particularly efficient way of actually finding one.
As for why we would want to actually find a larger prime than any yet known: because it's there?
Reading one of the comments, I notice that you have heard of the
Euclid-Mullin sequence,
$$ a_n = \mathrm{lpf}\left(1+\prod_{k=1}^{n-1}a_k\right). $$
The right-hand side of this equation contains the famous
formula from Euclid's proof of the infinitude of primes.
But it also applies the "$\mathrm{lpf}$" function to this formula,
and there's the rub.
That's the "least prime factor" function, and it not only requires
you to factorize a very large number, it also requires you to
determine whether the factors you have found are prime.
So the way to find a new world's largest prime using Euclid's proof
would be as follows:
Collect together all the known primes.
Multiply all the known primes together (not a small task; some of these primes run into millions of digits).
Add one.
Test the resulting number from the previous step to determine whether it is prime.
If the result of step 4 is that the number is prime, skip ahead to step 8. But very likely the number is not prime, and you must continue to step 6.
Use the results of step 4 to write a factorization of the number from step 3. Insert those factors in a list of unique factors found in this step.
Remove one number from the list in step 6, and return to step 4, using this number as the new input to step 4.
Compare the prime number found in step 5 to the list of known primes that you last used in step 2. If your prime is larger than any of the previously-known primes, congratulations, you have found the new world's largest prime number! But it is very likely that your new prime will fit in one of the many huge gaps in the sequence of previously-discovered primes; in that case, add the new prime to the list of known primes, and then either return to step 7 (if there are still numbers in the list from step 6) or start the process over from step 2.
The reason this is so complicated is that Euclid's formula does not directly produce a new prime; rather, it gives you a number whose prime factors are guaranteed to be new. You still have to test the number for primality and (very likely) factorize it somehow in order to find one of these new primes.
Moreover, if you collected together all the $N$ known primes, they are not the first $N$ primes; there are enormous tracts of relatively "unexplored territory" between the end of the largest "first $M$ primes" table and the largest known Mersenne prime. So after some amount of primality-testing and factorization applied to the number you got from Euclid's formula, you may well find that all the new primes it produced fell into the gaps in the list of known primes. Eventually, if you reapply the formula often enough, you will find a new largest prime, but how many iterations will that take? It could take a very, very long time before you find any new primes that don't just fill in the huge gaps between the already-known ones.
In contrast, testing new candidates for a Mersenne prime has a low probability of success each time, but relatively efficient ways to confirm success when it occurs; and when it succeeds it is practically guaranteed to be a new world's record. (The only way it wouldn't be a new record is if some other computer was concurrently testing an even larger Mersenne prime.)
Thanks!
– Alex L Jan 24 '16 at 12:14