File just for the sake of filing (and keep a copy). It's nice to be able to whip out a tax return sometimes. An example follows.
At my UG, I was getting a bunch of grants and some loans. Every semester, they wanted me to prove that I made basically no money the previous year. To prove this, I could either bring in bank statements, fill out forms about how much it costs me to survive, etc., or I could show them my federal tax return. They'd always say something like "you filed a tax return for none money?" and I'd explain that yes, I did file a return for none money and now that was all I had to give to them, instead of their 20 other forms.