Where are you getting ROMs from? XDA? Cos all of the custom ROM threads in XDA have a changelog. Usually, it does offer bug fixes and performance improvements. So yeah, update if you want to.
BTW, here's the thing about custom ROMs. If you want to install an updated version of the ROM you are currently using, then you don't need to wipe the phone.
For ex, if I'm using CyanogenMod 6.0, and if a CM 6.1 version comes out, then I don't need to wipe the phone. I can flash the updated ROM, and the ROM will be updated while retaining your apps an data. But say I'm not using CyanogenMod, and I want to install it, then I'll need to wipe the phone before flashing CM.