Finance people will tell you that you can do more with your own money week to week than letting the government hold it. I hate finance people (and I'm a quasi-one).
In the end, you're paying the government the same amount of taxes regardless of whether you write a check, or get one at the end of the year. I say do whatever you are comfortable with.
I agree with your first statement. My state and federal returns balance each other out pretty well. I haven't done my returns this year, but I think i got $300 back from one and paid $600 to the other last year. Writing that check didn't hurt too much.