Depends what you want them for really.
I sometimes mount mine on 2mm MDF board, mainly because I had loads of it left after a DIY project.
It can add to the feel of the piece if you base them, just like with a figure, but if you want them for use in several different settings then you may not want to tie them to one particular era or scene.
For example, my Egyptian stuff is based, because it won't be used anywhere except the desert, but my GW gothic ruins aren't mounted because it might be useful to have them fit into different games.
Personally, I think bases look nicer, and add lots of character, but they do cut down the versatility of a model IMO.
Oh, and it depends how sturdy the buildings are too. Are they particularly top heavy? They may need a base to stop them toppling over during play.