If your case has well designed air flow it would be better to keep it closed. But for an 'average' case leaving it open tends to be better. This is only from a cooling stand point, not taking into account dust, EMF, noise, etc etc stuff.
With proper air flow the cool air comes into the case moves across the components needing cooling and then out the other end 'carrying away' the heat. If this airflow isn't present or is being blocked you can get 'pools' of heat trapped in the case. In this situation if you remove the case sides those heat pools can at least dispearse into the room.