Well, I think most people here shoot in RAW so it doesn't matter too much, but what most don't realize it that it *IS* important to an extent in that your histogram is generated out of your jpeg preview image. So if you are using Standard picture style, it will have a tendency to show extremely blown out reds quite easily, which may affect your decisions on what settings to use.
I use jpegs for same day slideshows, so I need the colour to be awesome and accurate for my jpegs, so Picture Styles are very important to me.
I have found the best setting for natural colour with a bit of contrast is a modified Neutral picture style. I set mine to:
Sharpness 5
Contrast 2
Saturation 2
Tone 0