I would say in most cases it's better to take the bonus as long as you study terms & conditions
- If you want to hit a big win (playing with high stakes
blackjack or just
slots) then bonuses are very good way to double your chances of getting there. With most sign-up bonuses you get twice the amount you've paid. And if you hit
jackpot or get a lucky winning streak you should have enough money to complete the playthrough.
-If you want to be able to withdraw at any point, or after a small win, then you might want to ask to get the bonus removed (For example if you deposit $30 ... get it up to $50 and consider withdrawing for a $20 profit after 10 minutes of
gambling 
). Also if you can't be bothered about t&c and just want to play whatever game you see fit (including
roulette which is banned in most bonus t&c) then you might want to start without a bonus

So yeah, if :
- You're Going for the big win - take the bonus
- Looking for freedom to cash out whenever and play whatever - don't take the bonus