Walling is very popular as Terran and clearly makes defending zergling and zealot rushes significantly easier. It can also be helpful against Terran matchups to help prevent scouting and to delay an army pushing up into your base (where you might have siege tanks etc... set up)
It does however have some disadvantages, specifically
Enemy units that have equal or greater range than your own units can safely attack the wall itself, while your own units cannot attack back from behind the wall.
If your wall of Supply Depots is breached, you can become supply blocked, rendering you unable to reinforce or produce more units during the attack.
Although your wall can be very useful at defending against some attacks, in other situations it can also be fairly vulnerable until you are in a position where you can push out past the wall with your main army.
I have seen some high-level players in matches where they didn't wall off (even against Zerg) My understanding is that its possible to hold off early zergling etc... pushes with good building placement around your CC instead of a wall-off, however this seems very micro-intensive - I'm sure that anyone other than pro-level players would be much better off just relying on a wall-in and focussing their attention on more important things.
My advice would be to just wall off every time, especially against Zerg. Although it can be a disadvantage in some situations, its a very minor disadvantage when compared to the advantage it gives in other situations (e.g. Zergling rush).