Thanks for all your responses! I think it's an interesting topic. I swatch for things that are complex or fitted (except socks, because I've never had a gauge problem there. Although now that I have said that...)
I am mostly self-taught and I didn't truly understand the importance of swatching until I made the Giant Oversized Pullover of Doom. I ended up using almost 6 skeins of LB Fisherman's Wool (that stuff has 465 yards a skein). Then I started swatching everything. Now I have gotten to the point where I know I am usually going to have to go down a needle size. I usually don't swatch for non-fitted things, unless I am worried about running out of yarn.