I usually stay 1 or 2 releases behind, and skipped a couple. I haven't even been blogging that long, and they've already released 6 or so. I'll bet people that have a gazillion blogs curse a lot when they see that little new version message in the admin panel...
I've noticed sometimes the upgrade will cause problems with a certain theme, and swapping the theme fixes the problem. Of course, most times that's not really a fix since you want to keep your theme.
Hopefully it's just a matter of time before they streamline the upgrade process, particularly for those with multiple blogs.