I always want to carry around a small film camera with sound, like an 8mm cine or something. But yes, I do feel compelled to record sound sometimes- sometimes the ambiet sound is just part of understanding the atmosphere of a photo.

On a slightly-off topic note, I remember talking with my grandfather a few weeks back of an exhibition where the artist had lain a piece of paper on water (or plastic or something), and had a fine layer of sand on this. He then played a tone (or several) and photographed the patterns formed by the sound waves acting on the water, thereby acting on the sand. It was quite interesting, and the artist had an obscure name, so I cannot produce the website...