When adding a new wireless device, you try for about an hour to connect it with the correct key and wondering why it isn't working.... then you get a eureka moment and realise you had it turned on... (Happened to me a while ago at a client!).
In all seriousness, when it comes to security, as long as you remember the settings, every little helps - unless you are the sort of person who lets friends on the wireless all the time, there is little reason not to use it.
MAC addresses can always be forged by an attacker, but at the end of the day, every little helps when it comes to security and it is another hurdle that an attacker will have to jump over.
Edit, Just read the question again... Relying just on MAC filtering is a bad idea, if you mean using no key at all. This would mean that any rogue device will be able to listen in on pretty much anything going on over your network.
Update to your edited question -...MAC addresses are sent in the packet header to the router, if you are using no encryption, it will be EASY to read in plain text with the correct tools... If you use a key in combination to MAC security, it will still be guessable, but it will take significant time (encryption level depending) for someone to crack it.