I was chatting to a friend yesterday who had his Nikon D300 with a constant 2.8 aperture zoom lens (I can't remember the focal length, might have been around 17-55).
The curious thing was that he had an ND2 filter on the front of the lens - even though he was shooting indoors. The rational was that it is easier to leave the filter on at all times rather than put it on and off all the time, and he does most of his shooting outdoors.
Note: he wasn't there to take photographs. He was there to film and had his SLR with him to grab a couple of shots if he could.
Is there any advantage to keeping an ND filter on at all times? The only times I've thought of using one is to extend the shutter time, e.g. for photographing moving water.