i peg the weight when i want my worm to quickly make it to the bottom (sometimes if i don't peg it, the weight will slide down the line on the fall and make it to the bottom before the worm).
when the cover is thick i will peg the weight so it won't slide down the line and get caught up in crap.
also, when i want to impart DIRECT action to the worm, i will peg it. i did this with the rage tail anacondas because of the big tail on them, i thought that if i didn't peg the relatively small weight, that when the worm fell it wouldn't get that tail wagging. but with the weight pegged, it really pulled the worm through the water and gave it a different action.
basically, in short, pegging the weight amplifies its effect on the action of your bait. when i'm fishing sparse cover and smaller baits, i won't peg the weight. when i'm fishing heavy cover and bigger baits, i will peg the weight.