All depends on what you are doing with the file. I work in the printing trade, we want all files the size they are going to be reproduced at and at 300 dpi. So lets say we have a 6x4 inch image going in a magazine, we would resize the file in PS to correct size @300dpi, gives us a file size of around 8mb.
An A4 image at the correct size again is around 33MB. The reason we do this is because many programs will resize image differently, using an image at the correct size means we can sharpen as required in Photoshop.
The other reason is processing time, say you have a double page spread of a magazine which has 8 - 10 images on it, why would you want them at A4 size then reduce them in In Design, Quarkexpress or whatever program you are using to produce the pages. You are then processing 9 x 33MB images instead of 8 x 8MB files, it makes a big difference.