I just went clipless (SPD) this past Wednesday.

So far, I haven't gone all the way to the ground... the bike has gone toward my clipped-in foot on two or three occasions. However, I have the retention screws set as loose as possible so that (at least so far) any quick attempts to put a foot down result in sufficiently quick unclipping to avoid a fall.

So far I've never had my shoes come off the pedals unless I wanted them to. Are there any good reasons for me to ever consider tightening up those retention screws?