Great discussion, this is my first post here on the forums...
The answer is obvious to me. Yes, you should keep everything that originally came with the Lego set including the inner boxes and cardboard trays. As a collector and a hobbyist I can assure you that anyone paying a (1X+) multiple of retail for a set that they are finally able to obtain from you are going to want to experience as close to the new out of box experience as possible. Do not deny them their plastic bags people!!
One of my most positive buying experiences of all time was from eBay and the plastic bags were included. This large set actually was professionally packed inside of a box and included it's original shipper box from Lego. Everything arrived in mint condition and only cost me .96 of retail shipped! Upon my request the seller broke down the model into it's original pieces and stated that it would take considerable time to do so. I was thrilled to receive my item with C.O.A. AND plastic baggies :|
I had re-entered this hobby around the tail end of '08 and this set apparently had only recently become EOL. I was buying it because I really wanted it and just discovered its' existence. I did not have investment in mind. Collectable yes. Investment no.
One other point to consider about hanging on to plastic bags is it provides you with valuable information...
Say there is an auction at some point and there are just some numbered bags and a set number, but the seller has no idea if it is complete or not, say at like an estate sale or something. Well if you have your handy dandy collectible with plastic bags in tact, then walla you instantly have a resource for some useful information...