There are two schools of thought on this, the first being that Android is very clever and allocates system resources to whats being currently used so stuff can sit in the background quite happily without being a drain. Also by killing apps, your phone then has to restart them and the theory is that this takes more battery and cpu power than just letting the system manage itself.
The other school of thought is kill it all and kill it now! I belonged to this school and downloaded Advance Task Killer to kill off my apps on a regular basis (just remember to set up the ones to ignore that you want to keep running otherwise you won't get updates on Facebook/Twitter/Emails).
Note I say that I belonged, in the past tense. At the moment I am somewhere between the two. You can get very hung up on the numbers in the task killer 'OMG I have only 29m left, ooooh look when I kill I have now got 96m' but to be perfectly honest I haven't seen a huge amount of difference if I kill or if I don't.
Advanced Task Master is a freebie on the market so if you have access download it and have a few days killing and a few days not and just see what you think.