I've always run a leader, doesn't matter what I'm doing to be honest. It's not as important when your nymphing or tossing streamers like torco mentioned, but if you're trying to fish dries, it would almost be impossible.. The taper in the leader helps the fly turn over and land softly on the water. Without it, the line would just coil up and the fly would drop pretty much straight down, lol.
Your presentation wouldn't be very natural at all...