I don't either. But, it's a safety thing...If you read the manufacture service manuals for just about any job, the first thing they tell you to do is disconnect the battery. Minimizes risk of injury, and damage to the car.
I hate disconnecting batteries because of all the re-learn stuff, so I avoid it if possible. I understand the risks though, especially in newer cars....remote starters, keyless ignitions, electronics that never fully shut down, etc.