Last year (2008), I rode my bike to work. My pager started vibrating. I ran outside to find some idiot sitting on my bike. I had some choice words for him, which didn't seem to phase him at all. He wanted to ask me all kinds of questions and tell me that someday he was going to buy a motorcycle. He was one of those people that just didn't take a hint and you had to be blunt with him. I had to tell him straight out that I only came out because he triggered my alarm and I didn't have time to talk to him and that I do not want him near my bike again or the police will be called. He continued on his way walking down the street, totally unphased by any of it. The idiots walk among us.
Other than that, I set it if I park it to go into a store like a Walmart or if I'm at a rally and taking off on foot, or staying at a hotel for the eve. I've had a bike stolen before, and it's nice to have some sort of early detection in place. I think I'm actually more worried about the occasional idiot that decides to sit on your bike and the bike ends up on the ground.