You're going to get varying answers from people on this. Some never upgrade (and in fact some have downgraded to 1.5 for homebrew or pirating purposes) and others upgrade.
I'm firmly in the camp of never upgrading and wait for the hacker groups to release a way to play the newer firmware on the older 1.5 console (currently you can run 2.71 on 1.5 firmware). Especially as it allows you to do things that Sony should've allowed in the first place. That and there's never any features on the new BIOSs that interest me in the slightest.
Unfortunately, the number of consoles out there new/used that are of a firmware that's downgradable (especially with the PSP's version 2 model that'll stop you from downgrading to 1.5 alltogether) are shrinking. But a 1.5 PSP is a sight to behold. It's like a modified Xbox in all the things (legal and not legal) it can do beyond a standard console.