For me it depends on the situation. If the surfaces look ok and it's a good quality gasket (or an o-ring or something like that), then no... I don't use sealant.
But if the surfaces are corroded and/or it's a cheap/thin gasket, then I'll use some sealer. I don't really like RTV for a gasket dressing- for all the reasons stated elsewhere in this thread. I prefer something like Permatex hi-tack. Or permatex #2. Or anaerobic sealant (yeah, I know this isn't the 'proper' application, but it works well). Or Indian Head Gasket Shellaq. I've even let a bead of locktite soak into the gasket before- worked fine.
I'm a little less inclined to use sealant on gaskets that seal oil. But coolant is thin and under pressure- if there are any leak paths, it'll find them.