[Ninty64]

Always. If you leave them unlocked you make it monumentally easier for burglars.

Although, I have read that it might be a good idea to leave your car doors unlocked if you have nothing of value inside the car. A burglar breaking your car window could be worse than him/her just taking what is inside.
But then again, why would they break your window if they didn't see anything? So I don't know how much I trust that source.