I had a discussion with Doug (tanstaafl) about this very same topic a while ago, probably in that Nest thread.

The reason was I'm using a geothermal heat pump to heat my house. This is a very energy efficient system. On top of that, I've insulated my house well beyond average, to the point that it's almost a passive house.

For this reason, I don't even *have* a thermostat. I just set the room temperature to 21°C on the heat pump, and it makes sure the house temperature stays at that level winter *and* summer. (yes, in the summer it actually cools the house down). This puts us in the luxury position of never having to touch the temperature setting. When we leave the house, it's 21°C, and when we return, it still is. There's something to be said for the luxury of entering a heated house when you return from the cold.

A thermostat would also be completely overkill in our setup, because when I turn the heat pump completely off, it still takes more than a day before the house actually starts dropping in temperature, thanks to the large amount and efficiency of the insulation. And even then, the temperature drops very slowly. I once had to turn the system off for maintenance reasons -in winter, yay!- , and only after three days this became noticeable.

For this reason, I initially thought that it would mean that I would consume more energy if I turned my system completely off and then turn it back on again, having it do "overtime" to return to the original setting of 21°C, rather than keeping it at 21°C all the time. Doug convinced me this is not the case, it does consume more energy that way. But, thanks to the insulation, the difference in cost should be calculated more in the region of eurocents/year than euros. For this reason I don't care and just leave it on all the time. In any case, it's a heck of a lot more economical than the heating system of all others I know, meaning it costs me about half to heat my house 24/7 to 21°C than what others pay to heat their house to 21°C only in the hours they need it. The whole setup was a very hefty investment, easily 10-15% of the entire build budget, but needless to say I'm very happy it has paid off the way it did.