the problem with running the fan continuously during the cooling season is a slight increase in the humidity that enters the house. This is caused by the pressure of the fan not allowing all the condensate to leave the evaporator coil. When in the auto position and the fan shuts off then it allows the pressure pushed against the coil to dissipate and the condensate to leave the coil, thereby allowing the coil to become dry prior to the next cycle of the AC. NOW with that being said alot of the new systems controllers allow an intermediate setting on the stat that allows the fan to run for x amount of time and then off for x amount of time when there is no cooling/heating call.
I'll agree with tipsrfine in that it can increase/decrease pressures in the house if the house isn't balanced correctly, but you'd also notice this when the system is running with a heating/cooling call. As for redjeepjamie stating to not run it if the ducts are in the attic or in an unconditioned space cause it will pull outside temps into the home. That is only true if the duct system isn't sealed properly. If this is the case you're doing that during a normal heat/cool call as well as if it's running without the heat/cool call. If it's sealed properly then there will be no infiltration via the ductwork simply cause the fan is running all the time.
As I tell most of my customers it's up to them, the variable speed systems don't use any more power then a ceiling fan when running all the time. I also inform them of the humidity increase issue, if the stat has an intermittent feature they usually elect to set that. IMHO it's a personal preference as to if you set it to run or auto.