Mostly, you can leave it on.
Reasons you might want to turn it off are things like:
You have FTP/sFTP/SSH etc where the IP address you can connect from is already registered on the other end, so should match your home/work network
You are using some form of geolocation service and want it to know where you are from your IP address
You are running some form of server, and want others to be able to reach you by your IP address
I used it on my Android phone for quite a long trial, and it was great. It bypasses the "UK censorship firewall" and also the mobile phone content bloack that seems to have reappeared. However, if I was handing it to someone else to use, I might turn it off so that they couldn't easily access questionable content (or perhaps political ideas too radical for them?)
As far as data use goes, I have no real idea. I know that some VPN keep up a data stream to stop fingerprinting attacks, but using randomly timed bursts can do that anyway for less data use. I'd rather it were using more data and keeping me safer, but then I have a huge data cap!