I find that the sprocket holes have a strong effect of shattering expectation. In other words, they are not subtle in any way. When looking at the photo, practically the first thing you see is the sprocket holes. The holes have an effect of 'breaking the wall', perhaps reminding you that you are looking at a photograph, and collapsing the scene from imagination-space onto the paper. I find it similar to a 4th wall break in a motion picture. This effect isn't necessarily bad but I certainly wouldn't print everything like that.
Possibly even more visually violent than 35mm printed with unexposed sprocket holes, is film in which the hole area including sprocket holes is exposed.
Ah, a somewhat intelligent answer to a subjective question, full of analysis and free of opinion stated as fact (as were several other responses)! It sounds like you might have actually been subjected to an honest-to-god academic photo critique at least a few times in your life. Is this really the Internet?
"Truth and love are my law and worship. Form and conscience are my manifestation and guide. Nature and peace are my shelter and companions. Order is my attitude. Beauty and perfection are my attack."
I agree with a great many people here - no sprocket holes, and if you think it 'proves' that it's film and not digital, believe me it doesn't - I've seen lots of weirdos who attach digital sprocket holes to their digital photos...you know, because they're so cool.
We're photographers because we're masters of composition - if you sprocket hole your work you're throwing that off. Yes, I have done it in the past...maybe once...as a gimmick.
I'm always surprised at how many are so against sprocket holes. I personally like a black border around my photos, but oftentimes the neatly cropped black border is too... neat. Not that I advocate full blown sprocket holes and rebates, but a bit rougher of a border I think can be aesthetically pleasing.
Out of all the published pictures featuring sprocket holes that I saw last year I can't think of any that were done on film.
Give-aways include repetitive frame numbers, wrong aspect ratio, wrong number of sprocket holes per frame, images not matching film data and so on. Adding sprocket holes via Photoshop has become so ubiquitous that the mere sight of a sprocket hole screams FAKE!
And, I fear, it reflects a mentality in the image maker that trickery is clever and it is cool to deceive.
Photography, the word itself, invented and defined by its author Sir John.F.W.Herschel, 14 March 1839 at the Royal Society, Somerset House, London. Quote "...Photography or the application of the Chemical rays of light to the purpose of pictorial representation,..". unquote.
You who disfavor sprocket holes in the image haven't found the right gallery owner promoter or critic yet.
When you do it will be the hottest thing going and you'll become more famous and wealthy than you can imagine.