Would the automatic removal of double vertices ever be undesirable? While modelling an object in blender it's not unusual to have overlapping vertices that are exactly on top of each other. This happens easily when I extrude and manipulate the mesh and then change my mind later on.

So removing doubles tends to be a common operation. However, wouldn't it make more sense to have blender automatically do this to help improve workflow?
Are there any situations where I wouldn't want to remove double vertices?
One case would be if you didn't want to lose sharp edges.

When you apply the edge-split modifier, it will be splitting off faces based upon the angle. It will actually be splitting them individually so there will be doubled vertices. If you remove doubles, you'll lose the sharp edges.