Always! For more then one reason.
First of all, it feels horrible in the morning... I find my eyes become sensitive from all the makeup that sat overnight on them, and it becomes hard to reapply the next day since my eyes are irritated.
Second, leaving foundation overnight is one of the worst things you can do for your skin, I have acne prone skin and leaving my foundation on causes huge breakouts the next day.
Lastly, it always feels great to go to bed with a fresh and clean face.