In any quantum mechanical setting, regardless of the type of the potential, one imposes the requirement that the wave-function $\Psi(x)$ (i.e., the solution to the Schrödinger equation) be $C^1$-smooth (continuous with well-defined 1st derivative) or at least, continuous, $C^0$ [see here for a definition], in position. Notice that a discontinuous wave-function will lead to a physically absurd situation, since the probability $P(x)$ of finding the particle in a position interval $[x, x + dx]$, is defined in terms of the absolute value of the wave-function $\Psi(x)$:
$$P(x) = |\Psi(x)|^2 ~ ;$$
it is obvious that if the wave-function is not continuous at some point, the probability of finding the particle in the interval containing $x$ will not be defined! Therefore, to have a well-defined physical picture, the wave-function should be at least continuous in its domain.
Having a well-defined first derivative leads to a proper behaviour of other observable physical quantities like the particle current:
$$ j = \frac{\hbar}{2m \mathrm{i}}\left(\Psi^* \frac{\partial \Psi }{\partial x}- \Psi \frac{\partial \Psi^* }{\partial x} \right) ~.$$
[Note that this is the simplest expression for the current, but that suffices for the current issue.]
For a detailed discussion, consult, e.g., Ballentine, L. E. “Quantum mechanics: a modern development”. World scientific (1998), sections 4.4 and 4.5.
Correction: The interpretation of $P(x)$ was corrected due to a comment by @ACuriousMind.