Why wouldn't you right? You're passing up so much loot if you don't!
But yeah, I'm an obsessive packrat in those games, pick up anything not nailed down/not considered stealing. So you know I write down the locations of any locked stuff beyond my level to go back and get it later, even if it's just a lunchbox or some shit lol.
In 3 and NV? Yes.
4 and 76? Nope.
Oblivion I rush for Skeleton key, and Morrowind I use Unhinging spells/Scrolls.
In 3 and NV there was sometimes locked content behind doors and such, but now there's basically nothing that you can't miss.