A Phaser has many different power settingsmany different power settings for different situations. It is necessary to have the option for a "kill" setting if an enemy is too powerful or the "stun" setting cannot disrupt their nervous system.
There are other settings such as "Cut" "Dispersal" and even "Vaporize." All of these settings are similar to the "stun" setting, but have more energy which can be lethal to most humanoids.
In the new star trek movie (sorry for the bad example) Spock and Kirk set their phasers to kill while onboard the Romulan ship because if they were to let the Romulans live they run the risk of letting the entire federation get destroyed.