I might be really weird, but I actually enjoy winding all of my yarn into balls! I get to appreciate my purchase a second time as I wind it up. It's part of the excitement of buying new yarn for me!
Also, like MAma Dawn, I have had enough problems with skeins either knotted together or actually coming out really tangled to justify my yarn-balling habit.
Advice from a Moose: Think big * Spend time in the woods * Eat plenty of greens * Hold your head up high * Stay on track * Keep your nose clean * It's OK to be a little wild!