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Don't ever leave a lock in the unlocked state. You want to avoid situations where a person can lock something (either intentionally or from just fidgeting) but not unlock it. In the worst case, this can be fatal. Keeping it locked makes you prove you have the key before using it.
@jefftk Ah I should clarify I meant shackle locks. Locks built-in to other structures don't carry the same sorts of risks.
@WHALEINFO normally the doors on my bedroom, bathroom, house, and car are unlocked. But these don't have that risk because if you lock them with yourself inside you can still unlock it.
The riskiest one is the car, and people do lock their keys in their cars sometimes. But since you can lock it without the key I don't think keeping it locked really reduces that risk.