Mine always wear their collars. We used to usually have them off, except on walks, etc, but one of the dogs got out of the yard through a loose board,,.and she ended up being killed by a car about a mile and a half from our house. (This was in '04). So we keep the dog collars on at all times.
You never know when your dog will get our and lost, and what circumstance will come up.
The only time I do take the collars off, is when we are sleeping at night with my door closed. My dogs don't mind their collars at all, they are very used to them. And I don't mind the sound of dog tags.
I have never had any concerns with their collars. They are very loose fitting, and the dogs could take them off themselves if they wanted to (The slip right off). The collars are only used for identification purposes..I use harnesses for walking, and those are only on during walks.
Only one of my cats has a collar on, and thats cause shes partly blind and deaf..and if she ever managed to get outside..she would NEED to be found by someone! My other cats can't keep those safety collars on..they ALWAYS manage to get them off by just scratching at them.