In my response, there are two sides:
Side#1: Argues that turning off the compter helps to save energy, reduce wear and tear from prolonged use, etc
Side#2: Argues that letting the computer stay on makes it easier to work on it, and will prevent the deadly "Power-On-Death" of a computer
Anyway you slice it, there will be a debate.
IMO? Well, leaving the computer when you're downloading HUGE files is definitely a plus, and shutting it off DEFINITELY saves you money on a HUGE *** electric bill. With me, it mostly depends on how much money and time you have. An alternative would be hibernation, but most say that produces more problems than it's worth...