This topic has been long debated. It used to be recommended that you leave your mac on at all times. OS X runs system maintenance daily, weekly and monthly at some time in the middle of the night (I can't remember exactly what time, I think it was around 3am).
However, these days, most people put their computer to sleep to save power. All of my macs are on an aggressive sleep schedule. I usually have the display sleep in 1 minute, and the computer sleep in after 5 minutes of inactivity (these settings can be found under "Energy Saver" in system preferences).
Most system maintenance tools like Onyx will run the system maintenance scripts for you, so you don't have to worry about leaving your computer on during the night. But you can run system maintenance ANY time you want with the following command (open Terminal - in the Applications -> Utilities folder, or open it with spotlight, and type the following):
sudo periodic daily weekly monthly
Then enter your password. It usually takes a minute or two.
I RARELY shut down my mac. I'd say maybe once every 3 weeks or so. When I do, I often reset the PRAM as another maintenance procedure, although you by no means have to do it regularly. You can do this by holding down command+option+P+R.
I've given you a much more complex answer than you asked for, so in a nutshell:
I'd venture to say that most mac users shut their computers down rarely, primarily for convenience's sake. There's no danger to this, although the computer probably draws a few watts (definitely under 5) in sleep, as opposed to none when shut down.
