Hmmmm... I almost always raze.
OK, maybe a bit of an exaggeration, but not much.
If I am going for conquest, I raze almost everything. A city has to have something really special (wonder, religion) to keep.
If I am going for domination, I raze most cities. If I don't, maintenance will kill me. Once I have CoL, I am more inclined to keep a city, but I've usually fought a couple of wars by then with lots of razing.
If I'm going to another victory objective, then I am probably only going to war to grab a couple of key cities (for example, for a resource). In this case, of course, I will keep the cities.
A key consideration is where you are in the game (timewise)... later in the game, captured cities are better developed and can pay their own way. If I am still warring late in a game, I will keep more cities.