I do it just to be on the safe side. I also turn my blower on it for a few minutes after a gig to let the amp cool down (4 hour shows) before I cover it up and pack it away.
Like Dave says, it probably doesn't matter. But I feel better doing it so.....
I heard that switching it right off (no standby) would discharge the capacitors faster. It would also preserve your tubes longer - the sooner you turn it off. No real reason to have to hit standby first, but if it makes you feel better then go ahead.