Sometimes it makes good sense to me to prime and/or paint things on the sprue. A good example would be fuel tanks, bombs and other munnitions. I find that by removing as many attachment points as possible, gluing and priming, I've got parts that are (mostly) ready for paint, and still have a "handle". I like to use alligator clips on skewers to hold small stuff for paint, sticking the sharpened ends into styrofoam blocks.
Other assemblies can benefit from staying on the sprues, if it's easy to mask glue attachment points.