Is there a reason no one uses an opamp when using the LM35 sensor?
Here is the thing in general about analog to digital conversion, you generally want the scale of the value you read from the convertor to be a little wider than the expected normal range of the thing you want to measure so the granularity of the measurement is as fine as you can reasonably make it.

With a low value signal that means either amplifying the signal OR adjusting the reference range on the converter.

Here there is a trade off. The lower the level of the signal the more sensitive you are to ambient noise, both in the signal itself and in the reference voltage. Amplification on the other hand generally adds more components and new errors into the system.

Generally it is preferable to not mess with the signal any more than is absolutely necessary, but some design analysis is required to calculate which route provides you with the least amount of error.

The particular application, how much error matters, and amount of time you want to process the samples in code must also be factored in. Sometimes it is better to amplify and filter out noise in a pre-amplifier circuit, sometimes raw data is just fine. 

There is no "one size fits all" answer to this question.