I've heard the argument that it's better to train on heavier wheels, but I honestly don't notice much of a difference between my heavier wheels and lighter wheels.
As for wheels, I go through phases. For awhile, I rode basic, but light, aluminum rim wheels. Then I rode carbon tubulars daily (except on the trainer). Now, I'm riding a set of Mavic Cosmic Carbone SLRs I picked up cheap a few years ago. They used to be my race wheels before I got tubulars.
And I don't think tubulars are that big of a PIA, unless you have to completely de-glue a rim. That sucks. But just this week I removed and re-glued one of my tires because it didn't feel secure enough to me - Vittoria tire, seemed like it had lost some adhesion due to the deflating and sitting all winter like that.
Lastly, the only thing even remotely difficult about swapping wheels is changing pads for carbon rims. Even that only takes a couple of minutes.