Airplanes during atmospheric flight bank (incline towards the side of the turn), because to turn to one side, you must change the lift force to have a horizontal component (illustration from the same Wikipedia article):
However, in a vacuum, you do not have a lift force in the first place. Therefore, banking would not cause your spaceship to turn, unless you have special turning thrusters that for some reason are angled slightly DOWN from your plane, AND to the side:
However, the Millennium Falcon always banks when it turns in vacuum, despite seemingly NOT having such "sideways and downwards" aimed turning thrusters.
WHY? In-Universe explanation, if exists, is preferred.
NOTE: the question is about the Millennium Falcon but as noted in the comments, the issue is equally applicable to small starfighters as well.
Answer
In Universe:
Those who have played the Star Wars Flight Sims (X-Wing, Tie-Fighter) are very familiar with the concept. Most fighters turn left/right much slower then they can pull up/down. As a result it was easiest to chase a fast target by positioning the target above the cockpit using z rotation. This way you get maximum maneuverability and maximum visibility (as most fighters had a limited vision below the ship due to the cockpit shape). The practice was common because turning the ship left or right would naturally result in a small amount of z rotation and because of the previously mentioned speed boost in pulling up vs turning left or right.
The reason it was faster to pull up, as was explained to me and has been noted in this page already, is because the cost of installing and using very strong thrusters for every desired rotation is very high. By only having one set of powerful thrusters the fighter would still have the maximum maneuverability it needed, while keeping the cost and weight of the unit down. As has also been mentioned, many of these fighters (and space ships) were designed for space and atmospheric flight. Since the ships were not designed with natural upward thrust (most fighters and space ships did not have wings) they required large thrusters to maintain altitude. Many freighters, like the Millennium Falcon, where designed for vertical take off and landing, which can be seen on Tatooine in Episode 4. This reduced the space needed for take off and landing, removed the need for wheels while the ship is decelerating, and removed the need for separate storage and landing locations (the Millennium Falcon lands in its storage bay). Like freighters, fighters are also designed for vertical take off and landings so they can land anywhere (like a swamp or in their storage space on the flight deck) and so they did not need wheels which would make the ship larger (easier to hit), heaver (less maneuverability), and more problematic (how to land if a tire has popped or there is debris on the runway).
So in short, the reason the Millennium Falcon always banks turns is so the turn can be made faster, using the (larger) vertical thrusters.
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