DO - Create something unique, beautiful, and USABLE!
DO NOT - Drill holes at random hoping to save weight, resulting in something ugly, unsafe/unusable, and probably not weighing much less than when you started!
IMHO it's ALL about aesthetics and has almost nothing to do with weight savings.
Being machinist I pretty much drill holes in things for a living. Bicycle parts is a medium I haven't played with much (yet), but I've always loved the look of well crafted, well thought out and artistic drillium work. I'v got a'73 NR rear derailleur sitting in my tool box just begging to be put under the mill spindle...