I took the lanyard off of my small sebbie a few days after I got it.
I've also taken the lanyard off all but one of my knives (the lone exception being a small necker that's too small to grip otherwise).
For me, the lanyard gets in the way too much for the limited utility it offers (although it does look cool!). I can't remember the last time I cut something in a circumstance in which I'd lose the knife if I dropped it. If that situation did arise, I would take a cord out of my pack or pocket and bend it on the knife to use as a lanyard. If was too lazy to do that, I would also have been too lazy to untie the lanyard that would have otherwise been on the knife.
It also concerns me that, with the lanyard sticking out of my pocket (because it seems to invariably work it's way out), the lanyard provides an easy "handle" for some slick pickpocket to slide my knife out of my pocket without me feeling it.