It depends. Sometimes, if I have the time I prefer to rebuild because then I know it's done right. Other times, the new/reman calipers are silly expensive, especially when you get into older/uncommon cars. The rear calipers for my T/A were like $180 each, so yeah, I rebuilt them (stupid ratcheting e-brake thing and all), but front were like $40, so I just threw the remans on it.
Worst part of that job was bleeding the system in the driveway, in a blizzard with my wife pumping the pedal inside the car while yelling about being frozen the whole time.....sorta funny now, definitely wasn't enjoying myself at the time.