That depends on your personal tastes. There are flavor advantages to using a secondary, and there are flavor advantages to leaving the beer in primary. The question is which flavor advantages do you prefer? The differences can be subtle in some styles. For some it is not worth bothering to transfer, while others think the difference is worth it. Plus there are a lot of folks who prefer the flavor from a long primary. Neither way is more correct than the other. Both make good beer.
I agree there are pros and cons to both methods -
I have used the "primary only method" on my first several brews and while it worked and I got clear beer, especially if I cold crashed, It did add a few weeks to the process, and my beer, while good, had a "taste' that I did not quite care for.
On my last 4 or 5 brews - After 7-10 days in primary, I rack onto gellatin in a secondary, let that sit in the secondary for a 2-3 days, then cold crash for a day or 2, then rack to a keg.
Put 30 lbs of CO2 to the keg for 24-30 hours (no shaking...) and start to drink it. It gets a little "better" after a week or 2 in the kegerator and is crystal clear with out that "taste" I dont like, just clean crisp beer.
My last homebrew club meeting people were amazed that my Kolsh was not lagered for months... it was 6 weeks old from grain, but had not really changed at all since it was 4 weeks old.
like pgg2ba said -
both ways make good beer... do what works for you.
thanks Kevin