The problem with leaving the nail in the tire is that you could throw it at an inopportune time and suddenly lose tire pressure, which would adversely affect the handling of your bike.
I picked up a screw in my rear tire last thursday night. As I was riding home my bike was acting weird every time I leaned it over in a turn. I didn't know what the problem was, but by the next morning the tire was flat.
My tire only had a couple hundred miles on it, but I decided to just replace it.
If you have a Cycle Gear near you, I heartily recommend them for tires. Their prices are as good as most mail order, and they offer a road hazard warranty. Free replacement to 75% of the tread and pro-rated from there down to the wear bars. The warranty cost me about $12, which certainly would have been worth it if I had had it on the old tire.
They mount and computer balance, and even inspect your wheel with you when they take it and pay if they cause any damage. The downside is that you have to take just the wheel and tire, as they don't have facilities for removing the wheel from the bike.