Most of the time when I shave, I aim to get my scalp as smooth as I can. When I'm done, it's usually slick and frictionless, which feels great when I'm running my hand across my skin. It also means that my scalp is at its most reflective (ie. shiniest), which isn't always the best look. Also, my toque (knit cap, for any non-Canadians) sometimes actually slides off, since there's not enough traction to keep it in place.
Completely smooth isn't actually my favourite scalp texture, though. Somewhere between 12 and 24 hours after that first smooth shave, a bit of hair has grown back and my scalp has an entirely different feel to it that I quite enjoy. My toque stays in place, the appearance is a little more matte, and I haven't yet hit that rough-and-tough feel that I prefer to avoid.
Sometimes, especially when I'm in a hurry, I won't make the effort to shave completely smooth. Instead of shaving against the grain and going over rough spots until it's completely slick, I will stick with one pass of the razor. It's an easy, quick shave, and sticking with one pass means no irritation (as long as your pre-shave preperations are adequate, of course). It also means that I have that slightly-roughened texture sooner, which I don't mind at all. The only real disadvantage to this approach (for me) is that I usually have to shave again the next day - when I go for a completely smooth shave, I usually only shave every second day.
What's your preference when it comes to smoothness?