For me, a GM should call for rolls when the following items are all true:
- The character is under some form of duress (i.e. in combat, being heckled, gun to head, very short time limit) that makes them doing the thing now important.
- The character has a real chance of failure (i.e. it's not a check you expect them to make 95% of the time)
- The success or failure of the roll has significant consequences for what is going on in the game, or the characters involved.
There is also one other rule but it is a "or" and that is:
- The character is being directly opposed by another important (PC Level) character
So contested checks are always rolled when two PCs go at it, but otherwise the roll has to be important and the character under duress to come up. This means that the thief trying to pick the lock of a room in an empty house doesn't need to roll. If it is possible for him to succeed he will eventually because there are no consequences for failure and no real factors that could prevent him from trying until he gets it right.
At the same time, a thief trying to pick the same lock while her friends are in combat, or because a guard is walking down the hall and will find her, will have to roll because now there are other factors that are important. The limited time causes duress, the character might not be able to pick the lock. Getting caught in the place at night with lock picks in a lock is also going to be very bad.
What about you though? How does your game handle it?