The only time I do is when the clip is of a poor design, as in the case of my CRKT M-16 I thought the knife carried to high in my pocket, so I removed the clip and replaced it with a Bencmade/Spyderco style clip so that it rode lower and was less likely to get caught on something and pull out of my pocket.
Also removed the clip on a Gigand/Fred Carter Spectrum, most definately the most useless clip out there, IMHO, now That Im think about it, I've had the clips off most of my EDC's at one time or another only to replace them if they worked well, if not they stayed off.