Originally posted by Adam It doesn't hurt to turn the camera off, so I would recommend doing it, especially if you are using older lenses. But no, I don't think it's strictly necessary in practice.
I have an inkling that powered components in the camera may tend to create a dust attracting static charge with the lens removed, at least under certain conditions. I've noticed I tend to pick up "stuff" even on a relatively calm day if I do a lens change while forgetting to turn the camera off, more often than when turning the camera OFF. I really try to make it a point to check now.
Even if the dust I see in the viewfinder isn't on-sensor and appearing in the shots it's still a major irritation to me just seeing it, particularly when it's managed to get on the backside of the focusing screen!!