i almost always do because i don't like the surprises that sometimes come when pulling it from the prewound skein. i like to know if there are knots and such in the middle of my yarn. also with a yarn winder, it is kinda fun to wind it!
if it is in a hank though you must wind it or you will end up with a knot. if it is already a center pull skein you don't have to....i just like to unless the skein is too big....then i just leave it alone.
(somehow i don't think that helped...lol)