Many athletes feel they run faster without the burden of socks. They also claim they get a more responsive feel.
The downside to going sock-less is you're more prone to hot spots and blisters. If you don't get blisters and want to go sock-less, by all means, do it. If you are prone to blisters, a thin, moisture-wicking sock (like these) are a good compromise.
You might also want the extra cushioning and comfort of a thicker sock. That's also fine.
Ultimately, it's personal preference and your choice will likely have little impact on your final results.