It depends on the situation and the game, I think.
We've got one game where the DM follows the 'Players Roll The Dice' rule, so if a monster attacks my character, I roll the d20 against myself to see if it hits. Same DM also asks us to roll our own skill checks, out in the open, and goes so far as to ask us to describe the results of our failure when we fail.
The other DM plays a lot more rolls behind the screen. For example, Stealth, Perception, Knowledge, etc, he rolls hidden, and tells you the effect .. which leads to a lot more not-knowing-for-sure and suspense. Did I fail that because I rolled badly, or was it just an impossible ask, or was there nothing there to begin with? .. And if the DM is cheating, how do I the player know it?