You'll probably have a majority of replies in favor of leaving all the trub from the boil, including the hops, in the primary, but I strain my wort and I believe I have a much easier time dealing with the beer afterwards.
I got this strainer at the local Sherwin Williams store:
It not only works great to get rid of all the pellet goop, it aids in aeration and fits a standard Ale Pail. When I'm through I rinse it off and toss it on the top shelf of the dishwasher. I thought this thing would only last a few beers, but it's got 8 brews on it and it's going strong. It does clog up a bit towards the end of the pour from the kettle, but I just run my SS spoon from the boil across the screen to move some trub out of the way and it eventually strains all the wort fine.