Whenever it is possible to pin a piece you should! At the very least "The Pin" restricts the movement of a piece, if only temporarily. Ideally you should always attack a pinned piece, piling piece upon piece if necessary in the hopes of capturing it. Often a pinned piece can be won with a simple "Pawn Push." If it is you that is being pinned resolve the pin as soon as possible or it could have nasty consequences. In this diagram for example White is threatening Ne5 and then Nxc6. If Black recaptures with the Pawn White then plays Bxc6+ and wins the exchange. This can all be prevented if Black resolves the pin immediately and does not procrastinate.