It usually looks a lot neater to tie and pull the knot to the inside and bury the tails. But that is the only reason to do it, because it looks nicer. I will do that if I break a thread in a bad spot and don't want it to be obvious I've stopped and started there. Normally I plan my stops and starts so it's not going to be noticeable (like on a dark spot if I'm using dark thread).