I like them to spin. I mean, how else can you enjoy flying the model around the room, while making engine noises? And I like to go "dakka-dakka-dakka" once in a while, when I feel like strafing an enemy position.
But seriously, the newer kits with poly-caps holding the shafts in place are nice to have when transporting models. And then when you get to wherever you are taking them, you can slip the prop(s) back on and start running around going "dakka-dakka-dakka."
Another advantage is that idiots who touch other people's models seem to always go for the prop. They try to turn it, and if it does not budge they horse it until that awful *krak* sounds as the now broken prop falls to the table. They give an embarassed shrug, go "Whoops, hee-hee", and saunter away.