...and depends on the type of war you are fighting.
Let's say it is early in the game and you are eliminating a pesky neighbor that is just too close for your own good - well, I say keep the city. In my experience, these cities can easily become as productive as any other city in your immediate empire, and it allows you to expand quickly when settlers are at a premium because of low populations, etc.
Certainly it makes sense to hold a city if it has that iron or horse or coal you need in the mid-game. And let me tell you, keep every city you tear through along that path, too, so you preserve a transportation corridor. A simple road won't do the trick, and you need to make that city contiguous with your empire to limit corruption.
But let's say you've just gotten tanks and you build your tank army and you want to take advantage of it to wipe through that irritating Zulu nation that keeps provoking you? Well, I suggest razing. If you're gonna wipe someone off the face of the planet, do it right. A city each turn - more if you have more armies, and you don't have to waste the resources and cost of maintenance of garrisoned troops to quell resisters. It *might* be worth it to try to settle their original cities; I've noticed these tend to turn around in your favor rather quickly. They also have high pops, improvements, and occassionally a wonder. Odds are they will be the last cities you attack, and you can station your armies there to end resistance. But the rest of them are useless. You're better off securing military control and sending in your own men to build new cities. And if it's a foreign continent or island, just keep your naval forces around to watch for other settlers.
I made the mistake of keeping a bunch of useless German and British cities, and they just drained my treasury and troops as I tried to build them up while keeping my war moving quickly and decisively.
However, I did notice something interesting; when I launched my all out offensive and took or razed 20 British cities in about 5 turns, my citizens and theirs all celebrated. No war weariness, no discontent - they were actually happy! I think the people like it when you totally conquer someone, but not if you just putz around in the field.
War in this game needs to be well thought out and have definite goals.