It's illegal to ride on the sidewalk in some business districts. For instance, in DC bicycles cannot be ridden on the sidewalk in the Central Business District, unless the sidewalk is expressly designated by order of the mayor (DC Regs Ch.12 § 1201.9).

Personally, I feel safer on the street. Drivers have some expectation of what I am doing, and I usually have a pretty good idea, or can anticipate their moves. Pedestrians are a whole different animal.

Also, drivers do not look for cyclists on sidewalks at intersections, I have seen casual cyclists almost killed trying to cross the street from the sidewalk, rather than in the flow of traffic.

It is called a sideWALK for a reason.