If its cold out, I'll let mine idle if I will be back in 15 minutes or so (such as just running into the deli). If its warm out, I always shut it off. It keeps the car warm on those ice cold winter days, and my GM 3.1L hates being cold (makes all kinds of terrible noises until it warms up).
I would never, ever, ever leave my key in the car however to let it continue to run. I installed a DesignTech AutoCommand 25522 when I got the car, which lets me both remote start it by locking the doors twice from the factory remote, and lets me let the car idle with the key out (a feature which I am in love with). You just hit a switch immediately before taking the key out, turn the ignition from "on" to "unlocked" and take the key out, and viola, the engine stays running. I have the optional time-out set to 15 minutes in case I'm longer than I expect.
Also, it's wired so that any activity other than a single door unlock with the key out will cut the motor. Pressing the brake or the gas, trying to move the shifter out of P--anything, will kill the motor immediately, and puts the system in security mode, so you can only restart the car with the key.