Do a search and you'll find many threads on this very topic, ultimately deciding that it really doesn't matter. For me it's off.

My reasons to keep 'em on:
1/ Less chance of damaging sticks while handling them.
2/ A nice yellowed wrapper can tell you it's contents have slept well.
3/ When you hand them out they appear more hygienic.


My reasons to strip 'em off:
1/ I'm not usually juggling or sword fighting with them anyway.
2/ I've got a pretty good idea of how long most have been sleeping.
3/ I save a few wrappers and re-bag 'em if necessary.
4/ It's easier to get a good feel/sound for how well humidored (yea I know, probably not a real word) they are when gently squeezing them and listening.
5/ Most of mine don't have wrappers anyway, and if it's good enough for them it's good enough for your 'domesticks'.
6/ I think they look better without the plastic.
7/ No chance of accidentally lighting up a plastic wrapper while in an alcoholic haze.

Basically reasons 6 and 7 (specially 7) clinched the deal for me.