It's personal preference, really. I usually take the cellophane off, but some people leave it on. If you're going to age them long term, it's suggested that you take it off, but if you're going to smoke them soon you can leave it on if you want. I just like the way they look naked.
I used to take off the cell all of the time...but now with PIF and Bday sticks and trades I have been leaving the cellophane on most of the time now. Just an added layer of protection when I send them or give them to someone. Unless I am storing them for a long period of time then they just look so damn good naked.
I'm with Kelvin - if I think it might become a PIF or giveaway stick I will leave the plastic on. If I'm sure this will be one that I smoke at home, then I'll take it off - the humidor smells better with more 'nekkid' sticks
I generally try to arrange my sticks so that the ones I'm going to smoke soon are on top. When I do dig through them, I'm VERY careful. If I know I'm going to be sending some sticks out, I'll usually go buy some and leave the cellophane on those.
I've been taking it off (a few, like the Rocky Patels never had cello on), reason being (maybe this is erroneous) I was worried they wouldn't get properly humidified if they stayed in the cello.