I'm going to buck the trend here; updates installing on their own is not always the best thing. While it's rare, Windows Updates have been known to release with serious bugs that can cause problems to a machine...these are usually caught and pulled inside about 12 hours of release, though. I have seen DRIVER updates (not OS updates) that come down through WU cause serious problems, including and not limited to completely disabling the network card in a machine.
I work for a very high end custom PC builder, and we ship machines with important updates set to download automatically but not install until the user does so (either by manually clicking 'install' or manually rebooting the machine). This way, you do keep current with important bugfixes and patches, but the delay is such that if there's any serious problems it generally gets pulled before it actually happens. (We built the personal workstations of half the board of Microsoft and they don't seem to have any argument. There's also the simple inconvenience factor of the machine pestering you for a reboot after pulling down updates, which this solves.)
EDIT: I can think of no legitimate reason to COMPLETELY disable updates outside of a heavily managed corporate network, as Dan mentions in his answer, or alternately a machine that simply isn't connected to the internet, of course. Beyond that, there would have to be an awfully specific reason (possibly "I"m paranoid and want to install them all by hand", lol)