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Well, I guess it's a case by case basis.  For Peacewalker, if you don't install, you actually lose some features.  I didn't notice much of a difference with Hot Shots Tennis.  It seems to load a little slower but that may be all in my head.  Valkyria Chronicles has an install but the online manual (and probably the real manual) states to ignore the install option if it's the PSN version.

Another thing that I just found out: I can't use custom soundtracks in crazy taxi!  I downloaded all of those Bad Religion/Offspring songs (and the entire Tony Hawk 2 soundtrack) for nothing!  Shoulda gone with the UMD version.