Per Brewing Classic Styles:
Its mainly a flavor thing. Oats in general add to the mouth feel and body. Untoasted they don't add much oat flavor. Toasted to golden brown they will add some oat / biscuity flavors.
I always toast mine when making oatmeal stout. But I think you can go either way depending on the flavor you are going for.
On Tap:Foreign Extra Stout, ESB
Fermenting: Fools Gold IIPA
Up Next: Oatmeal Stout