There are a few situations where you want to consider sleeving your cards
- You want to prevent marking caused by uneven use (ever play Euchre with a normal deck of cards?)
- You want to prevent marking caused by tears, folds, scratches and nicks (especially in games with a lot of shuffling or playing cards repeatedly)
- You want to protect the value of the cards (for collectible card games, such as MtG)
- You want to protect the condition of the cards (because you want them to remain in a nice state)
- The cards are difficult or expensive to replace
And a few reasons you might want to not sleeve your cards
- They will not fit nicely into the original packaging you have with sleeves
- The cards no longer stack nicely with sleeves
- It doesn't have much impact (if any) on the game if cards become marked (resource cards in Settlers of Catan, for example)
- There is information on both sides of the card that needs to remain visible (you can, however, buy transparent sleeves)
- The cards are easily replaceable (such as a normal deck of playing cards)
- And, of course, sleeves cost money
So, in short, it's really a matter of personal preference.
I sleeve my cards when playing MtG as some of the cards are valuable and marking can be an issue.
I don't sleeve my cards for Arkham Horror as (although they are very worn) it isn't very important to keep information secret. The cards also come in various sizes and sleeving them all would be annoying.
For another game, Citadels, some information is very important to keep secret (roles) so I sleeve these cards to prevent marking, but other cards (buildings) are not as important to keep secret so I do not bother sleeving them. The same idea applies with Battlestar Galactica.