This thread appears to be a bit old, but since it hasn't stopped anyone else...
As in pretty much every other aspect of growing, how/what you prune is very relative. I personally prune the small, lower branches of my plants when they are in veg, as well as some of the small "inside" branches. I basically do this for two reasons: #1 is that many of these branches aren't getting any light, since they are well under the canopy (this is especially true if you use any sort of fluorescent light). #2 is that come harvest time, a lot of the small branches produce maybe a couple grams of popcorn bud...it's just a pain to deal with/trim (although that's just really my own opinion, it's really up to you to decide what is "worth it"). So by cutting away the shrimpy branches, the plant spends it's energy developing the bigger, stronger branches that you leave behind.