I'll admit it, I don't sift my ingredients very often. I usually prefer to use a wire whisk to combine my dry ingredients. But... you have to be careful when using this method. For example, let's say your recipe calls for 2 cups sifted flour. That means you need to sift your flour and then measure out the 2 cups. If you don't, you may end-up with a tough baked good. On the other hand, if the recipe calls for 2 cups flour, sifted.
You may skip it, if you combine your dry ingredients like I do with a wire whisk.
The only time I don't skip the sifting is when I'm making an icing or frosting. If you've ever sifted any powdered sugar, you'll know that there will always be some round hard nuggets left in the sifter. These nuggets will result in gritty frosting.
Again, be careful in reading the recipe. If it says sift BEFORE the ingredient, it means sift and then measure. If it says sifted AFTER the ingredient, you measure and then sift.