I've wondered about this for similar reasons. I usually omit the spaces but as I said in an earlier post I'll sometimes include them when I think the typography calls for it or when I want to add extra emphasis.

I've come to the conclusion it boils down to which style manual one follows. I've taken a careful look at numbers of high-end books which no doubt have been carefully typeset and I've found EM dashes with and without spaces.

It seems there is no definitive rule but I might be wrong.