There are tons of nightmare scenarios that far outweigh the cost and perceived hassle of pulling a permit. I've had acquaintances not be able to sell their homes without deals falling through, massive demands for credits, lowering the selling price, etc. because they were penny-wise pound-foolish and didn't pull permits for work. I've also known of developers/contractors/homeowners having to rip out work after getting caught so the inspector could inspect wiring or pipes and/or face fines. Even if you never plan on selling, you may have an insurance claim denied for non-permitted work.
There are plenty of reasons to pull them. It's just not worth it to skip the permits.
Making sure a contractor pulls the proper permit ensures that the work is being done according to the building codes. Some of you may view it as a money grab but the codes have been in existence for a very long time and there's a reason why a contractor has to qualify to have a license from the licensing board.Sure, it takes time, work, and the cost you may have to incur, but to me, peace of mind, along with safety and a whole host of other problems will be avoided. Of course, it all depends on the particular building department and the inspector doing his job, but always make sure permits are pulled.