"It's more of a personal choice that depends on your needs and what you prefer. If you don't mind manually checking for updates at least every second Tuesday of each month, then you could set it to "Never..." so as not to worry about having updates (ex: drivers) that you may not want installed."
This is how I have it set up. I also visit this forum daily (to stay aware) and once in a blue moon, I'm alerted to an out-of-cycle Microsoft security update reported by a forum member.
As for deciding which to update, I generally accept all security updates even if I don't use the particular software module, such as wmp, ie, et al. The non-security updates require a few extra clicks beginning with the hyperlink, More Information, in the right column for each update. For example, a time-zone fix for a user in Bermuda would not apply for my system and I would ignore and have it hidden for future update scans.
Speaking of updates, it is past noon EDT and my check for updates since this morning has returned an up-to-date status. In the past Patch Tuesdays, I usually get results by 10-11am. Not even a MaliciousSoftwareRemovalTool. I hope that's not an indication of problems on my end.
Update: 13:00 EDT and the updates finally arrived. Also, clicking on More Information for security updates will net yourself a download to hold on to should a need arise to reinstall the OS. Those with data download limits will see the value of that.
