Well, there's an argument to be made for them, when including the full URL in a message would cause it to exceed the SMS character limit.

However, there's no reason to use one (and lots of reasons not to) when the URL doesn't break the 140-character limit, or when the message isn't going out via the SMS gateway.

I'm not holding my breath for Twitter to implement such logic, though; they seem to have a truly unhealthy fascination with URL shorteners.