All four of our dogs wear their collars at all times... unless in the bath or drying from the bath... in which case they don't even go outside to potty until they have their tags back on. I have seen many missing dog posters with "had collar off because she was just given a bath" on them, and I don't want to be one of those people.
I live on a busy road next to a busy intersection and if you go for a few miles each way, you can hit the highway. I don't want to take any chances. The only one I am comfortable with not having a collar on all the time is the poodle. He is so attached to me that I think even if he got out during the day when no one was home, he would sit on the porch until A or I got home. (He was, after all, found waiting on the porch of his old home for owners that had moved out.) Even so, he still wears his collar, and for show he has a leash when we go out, even though he doesn't need one because he stays right by me and doesn't pull or lag behind.
None of them care to wear their collars all the time, and they each get opportunities to take them off several times each week and have a little break from them. They seem to be attached to their tags and collars, as well... whenever I take TQ's collar off, she is immediately trying to shove her head back through the loop to put it on... or if I keep it off for a few hours (sometimes I will take it off at night when we sleep), I will find her cuddling with it or even cleaning it later.