it's generally not recommended unless you see a need in a particular recipe, partially because it complicates things and partially because it's said to thin out the body of a beer.
A protein rest can actually add body, as it cleaves non-soluble proteins into soluble proteins and peptides that add mouthfeel structure and assist head retention. Those non-soluble proteins do not add body, as they just break and settle out. Go long enough with your rest, and you can thin it out.
As far as clarifying beer? It depends on what you want for "best" and what you are trying to clear.
The Quickest: filtering.
The Cheapest: time at cold temperatures.
The Quicker and Cheaper Alternative to Filtering and Time: fining agents (such as Whirfloc, gelatin, Polyclar, isinglass, etc.)
Personally, I use Whirlfloc in every batch. I used to use Irish moss, and that worked well, but Whirlfloc works better and is easy to measure (i.e., it's a tablet). For lagers, I use nothing else, as a couple months of lagering at 34F will clear just about anything that needs clearing.
For ales, I will use gelatin if I want something clear quickly (i.e., for a party, competition, or something like that). Otherwise, I use nothing but time and temperature.
TL