There was also a thread in the commuting section a while ago about people sabotaging bikes left unattended. Vandals might damage or tamper with a bike that may not be as obvious as stomping on the wheels. For instance, imagine your chagrin to discover that someone had loosened your quick release on the front fork after you started riding in traffic. If you have to leave your machine out over night, please give it a once over to make sure it's safe.
Even if you have a cheap bike, it still represents an investment that should be protected as much as possible.