I keep it on, that haptic feedback can really aid the sense of immersion and also inform you of things you can't see or hear.
I play lots of racing games in first person view, so it's really useful to be able to feel when your wheels begin to cross over different surfaces, it's an extra bit of information to let you know you're pushing the cornering capabilities of your car too much and should lay off a bit.
It's a useful aid in dogfighting games too, to be able to feel the first few bullets hit your plane before your enemy has you properly lined up for the kill. If you're at the outer ranges of your enemy's guns or AA fire, you won't hear or see the first few bullets or pieces of shrapnel hit your plane, but being able to feel it lets you know you have to take evasive action.
However, I think they've got it slightly wrong in the driving sections of L.A. Noire, it vibrates too strongly at times and I always think there's something drastically wrong whenever I drive over tram-tracks in the road.