Always clean records before playing. Always. And for all the reasons everyone else has noted. You wouldn't want to look at the world through smudged glass, so why would you listen to to debris on a surface?
I've used LAST Power Cleaner (mold release remover) solution on all my new records before the first play since it was introduced with outstanding results. I use their standard cleaning solution and an old-school Discwasher brush for general cleaning, also with great success. Simple, inexpensive and effective.
