Add one more vote for yes baggage tags and that the anti position is needlessly paranoid.
I have 6 tags on my bag, including my EXP tag and a laminated business card. It guarantees that no one else accidentally mistakes my bag for theirs and my bag is instantly identifiable at the baggage claim office or by anyone knowing what to look for (either me or an agent on the phone who I let know what to look for).
If someone wants to rob my house, they can try. Meh.