I have made a lot of interconnects but almost always shielded them and then I tried a couple of sets unshielded just for kicks. I didn't hear any noticeable difference between the shielded or unshielded cables in my system so since then I have included the shield for the reasons stated by others, and because I didn't hear any negative effect on the sound because of the shielding. I believe there are many things that have a greater influence on how dynamic a system sounds than cable shielding. Plus, well-regarded manufactured cables at all price ranges use shielding.
@three_easy_payments - I will try to hide all my whiskey bottles better than Mr. Winer did.
Easy - mine are nowhere near that big!