Do QFNs really need that thermal pad?
The answer is that "it depends".  Also, I would like to point out that there are TQFP's with thermal pads, so this isn't a QFN vs TQFP issue.  It's a Pad or No Pad issue.

Pro's:


It's easier to cool a chip with a thermal pad.  Some parts absolutely need this, while other parts can have an extended ambient temperature range with a pad.
Some parts don't need cooling, but use the "thermal" pad as a very low impedance connection to GND.  This allows for lower noise and EMI.
QFN's have a lower lead inductance and are generally smaller than the equivalent pinned TQFP.  This improves signal integrity and lowers EMI.


Con's:


Makes hand soldering much harder.  Not as bad as a BGA, but you'll certainly need a hot-air solder station and possibly a preheat device for the larger parts.
Makes PCB routing more difficult, especially on 2 layer PCB's.


I personally would always choose a thermal pad over no pad, and always a QFN over TQFP.  Of course most of my PCB's are 6 or 8 layer boards with 4 mil traces, so routing and fanout usually aren't a huge problem.  Cooling is usually a problem for me.  I do benefit from the smaller QFN's.  And the better signal integrity and lower EMI is a huge plus for me.

The other side benefit is that nobody asks me to rework a QFN!  :)