While Inebriated Poet did a fine job of explaining the physical limitations of being invisible, he skipped some of the more simple, yet often over looked problems. These stem from certain advantages of being visible which are taken for granted by most.
Given that one has some how gained the ability to see, (through the logical method used in Quake, or some more fantastic solution) One would still presumably be invisible to themselves. This would most likely cause some difficulties with depth perception and balance. (Never having been invisible myself I can't swear to it.) Being invisible would also be somewhat dangerous as you would have only yourself to rely on to prevent collisions, from pedestrians, motorists, and what ever other sort of traffic may be present.
Faced with these challenges I would say that if one were to have the ability to become invisible, it would be best to have reliable control of ones visibility. I would also say that I watch too many sci-fi shows involving invisible men... but that's not the issue.
The sci-fi shows in question were, obviously, The Invisible man,as well as The X Files, Ghost in the Shell, and countless others.