Depends.
For first person shooters, OFF. It moves too fast otherwise, and even keeps moving after you stop. Aiming is much easier this way, and you can make up the lost movement agility by using strafe keys more.
For some other games, for example RTS, I keep it on. You need to move around the screen alot more and alot faster (particularly online RTSs) and covering large parts of the screen quickly are paramount, since you don't aim for particular points, rather you click and drag more often.