Especially at the red-chip levels, the little comps and coupons are worth more than the gameplay itself.
From 4 local joints, I got about $100 a month in cash, slotplay, and match play coupons, and I was little more than a "warm body" by their standards. Plus I did a lot of damage in terms of free food, which is probably harder to get without a card. (The mailers at one place went from $5/week to $10/week a month after I was recorded with $100 bets one session.)
Hell, John Acasauga's Nugget in Reno sent me a $50 freechip in the mail a while back, and I had only been there once. (And I'm pretty sure they knew I was counting at the time!)
However, on the flip side, when blundering into a strange casino for the first time, you might want to avoid the player's card. Especially if you're playing aggressively. Especially if you don't have a feel for their heat. Especially if you don't need to be a regular at that place.
Why? Well, if you get backed while using a player's card, you've probably lost the ability to earn comps with that card any more (or worse, if they have your real name and feel like advertising it). But still, the risk of losing future comps is worth forgoing them on the first day.
I have not, for instance, requested to be rated at El Cortez.
Of course, they're going to ask you for a player card on that first session. And they're going to ask you again if you start flashing big money (by their standards). Hopefully by that point in the game, you have a slightly better feel for how they feel about you.
(Actually, in Vegas, I let the floor supervisor badger me into getting a card after I had lost a few hundred, and she came back to the table and told me that I already had one. Turns out the casino was owned by the same people as some other place I had been to, and didn't know it)