I usually prefer to clean new records before playing them for the first time. Even brand-new albums can have some dust, paper residue or manufacturing debris left in the grooves. It only takes a few minutes to clean them properly, and it helps keep both the stylus and the record in good condition. That said, I'm sure plenty of people just play them straight out of the sleeve. I think it also depends on how carefully the records have been stored and handled before reaching you.